Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Year of publication: |
November 2015
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Authors: | Ma, Jingtang ; Deng, Dongya ; Lai, Yongzeng |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 34.2015, p. 1-21
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Subject: | Timer options | Stochastic interest rate models | Stochastic volatility models | Analytic methods | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Volatilität | Volatility | Zins | Interest rate |
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