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American Spread Option Pricing with Stochastic Interest Rates
Language: en
Pages: 149
Authors: An Jiang
Categories:
Type: BOOK - Published: 2016 - Publisher:

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In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these a
Spread Option Pricing with Stochastic Interest Rate
Language: en
Pages: 87
Authors: Yi Luo
Categories: Electronic dissertations
Type: BOOK - Published: 2012 - Publisher:

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In this dissertation, we investigate the spread option pricing problem with stochastic interest rate. First, we will review the basic concept and theories of st
Exchange Option and Spread Option with Stochastic Interest Rate
Language: en
Pages:
Authors: Craig Liu
Categories:
Type: BOOK - Published: 1999 - Publisher:

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In this work, we consider the issue of pricing exchange option and spread option with stochastic interest rates. We provide the closed form solution for the exc
Pricing and Hedging Credit Spread Options Under Stochastic Volatility
Language: en
Pages: 288
Authors:
Categories:
Type: BOOK - Published: 2004 - Publisher:

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Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case
Language: en
Pages: 29
Authors: Marc Sáez
Categories: Options (Finance)
Type: BOOK - Published: 1995 - Publisher:

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