The martingale approach for vulnerable binary option pricing under stochastic interest rate (Q5193432)
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scientific article; zbMATH DE number 7103215
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The martingale approach for vulnerable binary option pricing under stochastic interest rate |
scientific article; zbMATH DE number 7103215 |
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The martingale approach for vulnerable binary option pricing under stochastic interest rate (English)
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10 September 2019
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Ornstein-Uhlenbeck process
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vulnerable binary option
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option pricing
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change of measure
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stochastic interest rate
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martingale approach
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