Call option on the maximum of the interest rate in the one factor affine model

Mohamad Houda
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Mohamad Houda: LMRS

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Abstract: We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.

Date: 2013-09
New Economics Papers: this item is included in nep-lam, nep-ltv and nep-neu
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