Pricing Options under Stochastic Interest Rates: A New Approach
Year of publication: |
1999
|
---|---|
Authors: | Kim, Yong-Jin ; Kunitomo, Naoto |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 6.1999, 1, p. 49-70
|
Publisher: |
Springer |
Subject: | asymptotic expansion approach | Black-Scholes economy | Cox–Ingersoll–Ross model | stochastic interest rates |
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