Open AccessClosed Solutions for Option Valuations with Stochastic Interest Rate under a Neutral Foward Risk Measure
Author(s) -
Raúl de Jesús Gutiérrez,
Miguel Ángel Díaz Carreño
Publication year - 2012
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2011v1n2/dejesus
Subject(s) - short rate , martingale (probability theory) , interest rate , econometrics , rendleman–bartter model , measure (data warehouse) , forward rate , economics , martingale pricing , bond , mathematical economics , short rate model , mathematics , arbitrage , financial economics , yield curve , computer science , volatility (finance) , local martingale , finance , database