✦ LIBER ✦

Pricing of Asian exchange rate options under stochastic interest rates as a sum of options

✍ Scribed by J. Aase Nielsen; Klaus Sandmann

Publisher: Springer-Verlag
Year: 2002
Tongue: English
Weight: 140 KB
Volume: 6
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800100063

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Prices of asian options under stochastic

Prices of asian options under stochastic interest rates

✍ Zhang Shuguang; Yuan Shuiyong; Wang Lijun 📂 Article 📅 2006 🏛 SP Editorial Committee of Applied Mathematics - A 🌐 English ⚖ 273 KB

Convergence of discrete time option pric

Convergence of discrete time option pricing models under stochastic interest rates

✍ J.-P. Lesne; J.-L. Prigent; O. Scaillet 📂 Article 📅 2000 🏛 Springer-Verlag 🌐 English ⚖ 90 KB

The valuation of foreign currency option

The valuation of foreign currency options under stochastic interest rates

✍ S. Choi; M.D. Marcozzi 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 595 KB

Price of coupon bond options in a quantu

Price of coupon bond options in a quantum field theory of forward interest rates

✍ Belal E. Baaquie 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 201 KB

Accounting for stochastic interest rates

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

✍ Alexander Van Haastrecht; Antoon Pelsser 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 366 KB 👁 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