Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (Q6656032)
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scientific article; zbMATH DE number 7961081
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level |
scientific article; zbMATH DE number 7961081 |
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Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level (English)
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31 December 2024
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two-factor stochastic interest rate model
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European options
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closed-form
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stochastic long-run equilibrium level
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empirical study
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