OpenAlex | European option pricing when the riskfree interest rate follows a jump process

European option pricing when the riskfree interest rate follows a jump process

Work

Year: 2000

Type: article

Source: Communications in Statistics Stochastic Models

Authors Allanus H. Tsoi, Hailiang Yang, Shu-Ngai Yeung

Institutions Hong Kong University of Science and Technology, University of Hong Kong

Cites: 20

Cited by: 8

Related to: 10

FWCI:

Citation percentile (by year/subfield): 68.36

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Sustainable Development Goal Partnerships for the goals

Open Access status: closed