𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Pricing freight rate options

✍ Scribed by Steen Koekebakker; Roar Adland; Sigbjørn Sødal

Book ID
116937825
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
226 KB
Volume
43
Category
Article
ISSN
1366-5545

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A spectral algorithm for pricing interes
A spectral algorithm for pricing interest rate options
✍ Alexander Eydeland 📂 Article 📅 1996 🏛 Springer US 🌐 English ⚖ 842 KB

The paper describes a general spectral algorithm for numerical evaluation of contingent claims dependent on the term structure of interest rates. The evolution of the interest rates is modeled as a discrete Markov chain in a functional space. The functional basis in the state space and the transitio

Pricing interest rate futures options wi
Pricing interest rate futures options with futures-style margining
✍ Ren-Raw Chen; Louis Scott 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 426 KB

which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e