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
The generalized sequential compound options pricing and sensitivity analysis
โ Scribed by Meng-Yu Lee; Fang-Bo Yeh; An-Pin Chen
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 295 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0165-4896
No coin nor oath required. For personal study only.
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ike many other futures contracts, the Treasury Bond (T-Bond) futures contract L allows the holder of a short position to satisfy the contract by delivering one of the variety of T-Bonds on one of a number of delivery dates. Accordingly, the traditional approach to pricing such contracts has concentr
An automated purge and trap gas chromatographymass spectrometry system for the sensitive shipboard analysis of volatile organic compounds in seawater We developed an automated purge and trap unit connected to a gas chromatographmass spectrometer for shipboard determination of unstable volatile orga