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~institution:"Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen"
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Log-normal interest rates
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THOMASSEN, Liesbeth
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VAN WOUWE, Martine
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Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen
Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna
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CESifo
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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The influence of a stochastic interest rate on the n-fold compound option
THOMASSEN, Liesbeth
;
VAN WOUWE, Martine
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Faculteit Toegepaste Economische Wetenschappen, …
. According to Miltersen et al., we will use the requirement of simple interest rates over a fixed finite period to be
log-normal
…
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