Interest rate models and option pricing:
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Y.K. Tse
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Article
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1995
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Elsevier Science
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English
β 343 KB
Interest rate is a fundamental determinant of asset prices in financial markets. Many stochastic models have been developed by academic researchers in the continuous-time setting (see, e.g., Vasicek [10], Brennan and Schwartz [1 ], Cox, Ingersoll and Ross ). These models provide a rich framework for