Interest rate options valuation under incomplete information

DOI10.1007/s10479-006-0128-2zbMath1132.91477OpenAlexW2083024861MaRDI QIDQ2480219

Constantin Mellios

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0128-2

zbMATH Keywords

term structure of interest ratesgeneral equilibriumincomplete informationfiltering theoryoption prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

Related Items (3)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Incomplete information equilibria: separation theorems and other myths

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