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An Analytical Approximation for European Option Prices Under Stochastic Interest Rate Economy
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Type: BOOK - Published: 2015 - Publisher:

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This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi and Kijima (2013) to an equity-interest-rate hybrid model for the pricing of Eu
An Investigation of the Impact of Stochastic Interest Rates on the Pricing of Equity Options
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Option Prices in Stochastic Volatility Models
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We study option pricing problems in stochastic volatility models. In the first part of this thesis we focus on American options in the Heston model. We first gi
Option Pricing Under Stochastic Volatility and Stochastic Interest Rate in the Spanish Case
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The Art of Quantitative Finance Vol.2
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This textbook provides the necessary techniques from financial mathematics and stochastic analysis for the valuation of more complex financial products and stra