RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
From MaRDI portal
Publication:3523592
DOI10.1142/S0219024901001164zbMath1153.91550OpenAlexW2022636881MaRDI QIDQ3523592
A. G. Muslimov, N. A. Silant'ev
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901001164
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- The Pricing of Options and Corporate Liabilities
- Financial modeling in a fast mean-reverting stochastic volatility environment
- Methods of calculation of turbulent diffusivities
- The structure of isotropic turbulence at very high Reynolds numbers
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
- A New Model for Interest Rates
- A Risk-Neutral Stochastic Volatility Model
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Stochastic volatility, smile & asymptotics
This page was built for publication: RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
