AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES

DOI10.1142/S0219024915500260zbMath1337.91119MaRDI QIDQ5265241

Hideharu Funahashi

Publication date: 23 July 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Wiener-Itô chaos expansionHull-White modellocal volatility modelhybrid equity model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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