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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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
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Wiley
2014-01-01
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| Saila: | Journal of Applied Mathematics |
| Sarrera elektronikoa: | http://dx.doi.org/10.1155/2014/759562 |
| Etiketak: |
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