mellin transform method for european option pricing with hull-white stochastic interest rate
Clicks: 150
ID: 243296
2014
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This
article has not been analysed, so there is no overall score —
reader engagement is measured and shown alongside.
Reader Engagement
Emerging Content
30.0
/100
150 views
27 readers
AI Quality Assessment
Not analyzed
Readership in this journal
EmergingRanked #80 of 357 articles by views in Chemico-biological interactions
Most read
Least read
Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 357 in total.
Mint this article as an NFT
Not yet mintedCreate a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.
5
SUSD
one-off · no wallet required
Abstract
Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.
| Reference Key |
yoon2014journalmellin
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | ;Ji-Hun Yoon |
| Journal | Chemico-biological interactions |
| Year | 2014 |
| DOI |
10.1155/2014/759562
|
| URL | |
| Keywords |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.