Forward start options under Heston affine jump-diffusions and stochastic interest rate
Rehez Ahlip, Laurence A. F. Park, Ante Prodan and Stephen Weissenhofer
| Year of publication: |
2021
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|---|---|
| Authors: | Ahlip, Rehez ; Park, Laurence A. F. ; Prodan, Ante ; Weissenhofer, Stephen |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 8.2021, 1, p. 1-24
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| Subject: | affine models | CIR model | Forward start options | Heston’s model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | CAPM | Zinsstruktur | Yield curve | Zins | Interest rate | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786321500055 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012654786