Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
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Publication:6573361
DOI10.1007/s10479-024-05904-xzbMATH Open1542.91397MaRDI QIDQ6573361
Belén León-Pérez, Manuel Crescenio Moreno
Publication date: 16 July 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
sensitivity analysisoption pricingMonte Carlo simulationsFourier seriesmean-reversionaverage options
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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