Pricing range notes within Wishart affine models

DOI10.1016/j.insmatheco.2014.07.008zbMath1304.91214OpenAlexW3125795892MaRDI QIDQ2513635

José Da Fonseca, Carl Chiarella, Martino Grasselli

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.07.008

zbMATH Keywords

term structure modelsrange accrual notesWishart models

Mathematics Subject Classification ID

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

Related Items

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, Valuing variable annuity guarantees on multiple assets, Geometric ergodicity of affine processes on cones, Pricing guaranteed annuity options in a linear-rational Wishart mortality model, Explosion time for some Laplace transforms of the Wishart process, Regime switching affine processes with applications to finance, Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

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