Prices of Asian options under stochastic interest rates

DOI10.1007/BF02791350zbMath1105.60028MaRDI QIDQ2505261

Shuiyong Yuan, Shuguang Zhang, Li-Jun Wang

Publication date: 4 October 2006

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

zbMATH Keywords

stochastic interest rateAsian optionHull and White model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (1)

Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate

Cites Work

• The use and pricing of convertible bonds

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