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...
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| Hovedforfatter: | |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Wiley
2014-01-01
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| Serier: | Journal of Applied Mathematics |
| Online adgang: | http://dx.doi.org/10.1155/2014/759562 |
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