Evaluation of the GIC rollover option
type: Item
instance of: scholarly article
title: Evaluation of the GIC rollover option
zbMATH Open document ID: 0809.90029
DOI: 10.1016/0167-6687(94)90095-7
author: Hal W. Pedersen
author: E. S. W. Shiu
published in: Insurance Mathematics \& Economics
publication date: 1995-03-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 639404
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: martingales
zbMATH Keywords: option pricing
zbMATH Keywords: Black- Scholes formula
zbMATH Keywords: risk neutral valuation
zbMATH Keywords: forward-risk-adjusted measure
MaRDI profile type: Publication
full work available at URL: 0167-6687(94)90095-7
OpenAlex ID: W2091153729
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description: scientific article; zbMATH DE number 639404