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Further generalization of Faustmann's formula for stochastic interest rates

✍ Scribed by Joseph Buongiorno; Mo Zhou


Book ID
116647401
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
331 KB
Volume
17
Category
Article
ISSN
1104-6899

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Accounting for stochastic interest rates
✍ Alexander Van Haastrecht; Antoon Pelsser πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 366 KB πŸ‘ 1 views

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