Pricing derivatives with barriers in a stochastic interest rate environment (Q844767)
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scientific article; zbMATH DE number 5660308
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing derivatives with barriers in a stochastic interest rate environment |
scientific article; zbMATH DE number 5660308 |
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Pricing derivatives with barriers in a stochastic interest rate environment (English)
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19 January 2010
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change of numéraire
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Vasicek model
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barrier option
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Markovian approximation
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