Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
J. Lars Kirkby
| Year of publication: |
2023
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|---|---|
| Authors: | Kirkby, J. Lars |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 305.2023, 2 (1.3.), p. 961-978
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| Subject: | Finance | CTMC | Markov chain approximation | Stochastic interest | Option pricing | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Swap | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.05.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013482166