Analytical formulas for a local volatility model with stochastic rates (Q2893202)
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scientific article; zbMATH DE number 6050004
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical formulas for a local volatility model with stochastic rates |
scientific article; zbMATH DE number 6050004 |
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Analytical formulas for a local volatility model with stochastic rates (English)
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26 June 2012
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computational finance
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option pricing
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interest rates
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equity options
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mathematics of finance
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multi-factor models
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stochastic analysis
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