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A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Transition Densities for Interest Rate and Other Nonlinear Diffusions
Transition Densities Interest Rate Other Nonlinear Diffusions
2014/3/13
Transition Densities for Interest Rate and Other Nonlinear Diffusions.
Nonparametric Pricing of Interest Rate Derivative Securities
Nonparametric Pricing Interest Rate Derivative Securities
2014/3/13
Nonparametric Pricing of Interest Rate Derivative Securities.
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.