Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
type: Item
instance of: scholarly article
title: Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
author: Yanyan Li
published in: European Journal of Operational Research
publication date: 2022-11-17T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7619296
zbMATH Keywords: finance
zbMATH Keywords: CTMC
zbMATH Keywords: Markov chain approximation
zbMATH Keywords: stochastic interest
zbMATH Keywords: option pricing
describes a project that uses: pymle
MaRDI profile type: Publication
full work available at URL: j.ejor.2022.05.044
OpenAlex ID: W4281684378
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DOI: 10.1016/J.EJOR.2022.05.044
description: scientific article; zbMATH DE number 7619296