Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate
Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option price...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | Artigo |
| اللغة: | Inglês |
| منشور في: |
Wiley
2014-01-01
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| سلاسل: | Journal of Applied Mathematics |
| الوصول للمادة أونلاين: | http://dx.doi.org/10.1155/2014/759562 |
| الوسوم: |
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