A moment matching method for option pricing under stochastic interest rates (Q6579672)
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scientific article; zbMATH DE number 7887737
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A moment matching method for option pricing under stochastic interest rates |
scientific article; zbMATH DE number 7887737 |
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A moment matching method for option pricing under stochastic interest rates (English)
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25 July 2024
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Cox-Ingersoll-Ross model
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moment matching
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non-affine models
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option pricing
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stochastic interest rates
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