Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem

DOI10.1080/1350486X.2010.531588zbMath1239.91172OpenAlexW2064860653MaRDI QIDQ2889587

Giovanni Barone-Adesi, Ghulam Sorwar

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2010.531588

zbMATH Keywords

derivativesbox methodGreen's theorem

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach

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