Pricing options under stochastic interest rates: a new approach

DOI10.1023/A:1010006525552zbMath1157.91363OpenAlexW2044890552MaRDI QIDQ1012319

Naoto Kunitomo, Yong-Jin Kim

Publication date: 15 April 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010006525552

zbMATH Keywords

Cox-Ingersoll-Ross modelstochastic interest ratesasymptotic expansion approachBlack-Scholes economy

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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