Pricing spread options with stochastic interest rates

DOI10.1155/2014/734265zbMath1407.91253OpenAlexW2056618284WikidataQ59071781 ScholiaQ59071781MaRDI QIDQ1719038

Yunguo Jin, Shou-ming Zhong

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/734265

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)

Related Items (1)

Stochastic interest model based on compound Poisson process and applications in actuarial science

Cites Work

• Unnamed Item
• Mathematical models of financial derivatives
• Stochastic calculus for finance. II: Continuous-time models.
• A simple derivation of Kirk's approximation for spread options
• Pricing vulnerable options under a stochastic volatility model
• A Fourier Transform Method for Spread Option Pricing
• Pricing and Hedging Spread Options
• Changes of numéraire, changes of probability measure and option pricing
• Closed form spread option valuation

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