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On pricing derivatives in the presence of auxiliary state variables
- Source :
- Journal of Derivatives. Winter, 2006, Vol. 14 Issue 2, p29, 18 p.
- Publication Year :
- 2006
-
Abstract
- This article investigates the pricing of options when a need arises to carry a path-dependent auxiliary state variable. Examples of such problems include the pricing of interest rate claims in [...]
Details
- Language :
- English
- ISSN :
- 10741240
- Volume :
- 14
- Issue :
- 2
- Database :
- Gale General OneFile
- Journal :
- Journal of Derivatives
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.156134642