Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
The short rate is central in the context of interest-rate markets as well as broader finance. As such, accurate modelling of this rate is of particular importance in the pricing of interest-rate options, especially during times of high volatility where increased demand is seen for simpler and lower...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2022
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Similar Items: Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
- Pricing American compound options with stochastic volatility and correlated interest rates
- An introduction to interest rate jumps at deterministic times
- An application of an entropy principle to short term interest rate modelling
- Numerical methods for weather derivatives pricing
- An analysis of the term structure of interest rates and bond options in the South African capital market
- Discontinuation pattern of norplant among implant acceptors at the family planning clinic, University College Hospital, Ibadan, Nigeria