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Pricing Claims Under GARCH-Level Dependent Interest Rate Processes - MaRDI portal

Pricing Claims Under GARCH-Level Dependent Interest Rate Processes (Q3114752)

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Pricing Claims Under GARCH-Level Dependent Interest Rate Processes
scientific article

    Statements

    title
    Pricing Claims Under GARCH-Level Dependent Interest Rate Processes (English)
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    author
    Viswanath Cvsa
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    Peter H. Ritchken
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    publication date
    19 February 2012
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    zbMATH Keywords
    option pricing
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    GARCH processes
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    interest rate claims
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    62M10
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    zbMATH DE Number
    6007367
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    OpenAlex ID
    W2162404320
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