Pricing of bond options. Unspanned stochastic volatility and random field models.

zbMath1158.91012MaRDI QIDQ946627

Detlef Repplinger

Publication date: 24 September 2008

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

optionsderivativesrandom fieldsmathematical financeEdgeworth expansioninterest rate modelsbonds

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic processes (60G99) Stochastic analysis (60Hxx)

Related Items (1)

Set-Valued Stochastic Integrals and Equations with Respect to Two-Parameter Martingales

Uses Software

• Unnamed Item

This page was built for publication: Pricing of bond options. Unspanned stochastic volatility and random field models.