THE DOTHAN PRICING MODEL REVISITED

DOI10.1111/j.1467-9965.2010.00434.xzbMath1214.91122OpenAlexW2123801891MaRDI QIDQ3084606

Caroline Pintoux, Nicolas Privault

Publication date: 25 March 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00434.x

zbMATH Keywords

PDEoption pricingheat kernelBessel functionsinterest rate modelsHartman-Watson distributionDothan model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (9)

The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Optimal importance sampling for the Laplace transform of exponential Brownian functionals ⋮ Monte Carlo computation of the Laplace transform of exponential Brownian functionals ⋮ Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment ⋮ Optimal investment-consumption-insurance with random parameters ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC ⋮ Extended Mellin integral representations for the absolute value of the gamma function ⋮ A Hybrid Model for Pricing and Hedging of Long-dated Bonds

Cites Work

• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Handbook of Feynman path integrals
• Laguerre Series for Asian and Other Options
• A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS
• On some exponential functionals of Brownian motion
• The Market Model of Interest Rate Dynamics
• Infinitely Divisible Laws Associated with Hyperbolic Functions
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
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