An analytical approximation for European option prices under stochastic interest rates
Year of publication: |
2015
|
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Authors: | Funahashi, Hideharu |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 4, p. 1-43
|
Subject: | Hybrid equity model | Hull-White model | local volatility model | Wiener-Itô chaos expansion | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Zins | Interest rate |
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