Three ways to solve for bond prices in the Vasiček model
From MaRDI portal
Publication:705419
DOI10.1155/S117391260400001XzbMath1123.91027MaRDI QIDQ705419
Publication date: 31 January 2005
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/128104
Related Items (17)
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ Computational aspects of continuous-discrete extended Kalman-filtering ⋮ Irreversible investment under predictable growth: why land stays vacant when housing demand is booming ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors ⋮ AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES ⋮ Valuation of contingent claims with mortality and interest rate risks ⋮ Annuity contract valuation under dependent risks ⋮ Particle methods for PDEs arising in financial modeling
This page was built for publication: Three ways to solve for bond prices in the Vasiček model
