European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate

European option under local volatility and Cox-Ingersoll-Ross model of short rate is computed from one-dimensional partial differential equations: the Black-Scholes equation for option price and the forward Kolmogorov equation for probability transition density. Both the computations are verified by Monte Carlo simulations

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Year of publication:	2013
Authors:	Subramaniam, Shankar
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Zins \| Interest rate \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| EU-Staaten \| EU countries \| Zinsstruktur \| Yield curve

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