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American Options in Levy Models With Stochastic Interest Rate of CIR-Type
Language: en
Pages: 0
Authors: Svetlana Boyarchenko
Categories:
Type: BOOK - Published: 2007 - Publisher:

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A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volati
American Options in Levy Models with Stochastic Volatility
Language: en
Pages: 36
Authors: Svetlana Boyarchenko
Categories:
Type: BOOK - Published: 2008 - Publisher:

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A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volati
American Options in Lévy Models with Stochastic Interest Rates
Language: en
Pages: 31
Authors: Svetlana Boyarchenko
Categories:
Type: BOOK - Published: 2008 - Publisher:

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A general numerical method for pricing American options in regime-switching jump-diffusion models of stock dynamics with stochastic interest rates and/or volati
American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates
Language: en
Pages: 6
Authors: Svetlana Boyarchenko
Categories:
Type: BOOK - Published: 2008 - Publisher:

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A general numerical method for pricing American options in regime-switching jump-diffusion models of stock dynamics with stochastic interest rates and/or volati
American Options in the Heston Model With Stochastic Interest Rate
Language: en
Pages: 22
Authors: Svetlana Boyarchenko
Categories:
Type: BOOK - Published: 2008 - Publisher:

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We consider the Heston model with the stochastic interest rate of the CIR type and more general models with stochastic volatility and interest rates depending o