American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a
Continuous and discrete models in finance, in particular for stochastic interest rates
✍ Scribed by Hans Bühlmann
- Publisher
- Springer Milan
- Year
- 1994
- Tongue
- English
- Weight
- 583 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1593-8883
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factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende
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