Analytically pricing european options under a two-factor stochastic interest rate model with a stochastic long-run equilibrium level
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Publication:6656032
DOI10.1017/s1446181124000130MaRDI QIDQ6656032
Publication date: 31 December 2024
Published in: The ANZIAM Journal (Search for Journal in Brave)
empirical studyEuropean optionsclosed-formstochastic long-run equilibrium leveltwo-factor stochastic interest rate model
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