AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241)
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scientific article; zbMATH DE number 6463514
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES |
scientific article; zbMATH DE number 6463514 |
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AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (English)
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23 July 2015
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hybrid equity model
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Hull-White model
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local volatility model
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Wiener-Itô chaos expansion
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