Pricing options under stochastic interest rate and the Frasca-Farina process : a simple, explicit formula
Moawia Alghalith
| Year of publication: |
2021
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|---|---|
| Authors: | Alghalith, Moawia |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 16.2021, 1, p. 1-4
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| Subject: | Option pricing | stochastic interest rate | closed-form solution | the Black–ScholesPDE | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Stochastischer Prozess | Stochastic process | 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: | 10.1142/S2010495221500032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650873