The closed-form approximation to price basket options under stochastic interest rate
Bo Yu, Hongmei Zhu, Ping Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Yu, Bo ; Zhu, Hongmei ; Wu, Ping |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 2, p. 1-8
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| Subject: | Basket options | Conditioning approach | Forward valuation method | Log-normal distribution | Moment matching approach | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102434 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013342195