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Importance of mean-reversion of interest rate processes for options: The example of range warrants - MaRDI portal

Importance of mean-reversion of interest rate processes for options: The example of range warrants

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Publication:1283718

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DOI10.1007/S002910050086zbMath0916.90025OpenAlexW2313169034MaRDI QIDQ1283718

Marliese Uhrig-Homburg

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050086

zbMATH Keywords

mean-reversion Black's model range warrants

Mathematics Subject Classification ID

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