𝔖 Bobbio Scriptorium
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Martingalized historical approach for option pricing

✍ Scribed by C. Chorro; D. Guégan; F. Ielpo


Book ID
116494849
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
157 KB
Volume
7
Category
Article
ISSN
1544-6123

No coin nor oath required. For personal study only.


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A simple approach to bond option pricing
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In the last 15 years or so, tremendous efforts and progress have been made in valuing interest rate sensitive derivative securities. Broadly speaking, two different approaches have been used. Some authors have modeled interest rates in an equilibrium setting and derived bond prices and other interes