Publication
Title
The influence of a stochastic interest rate on the n-fold compound option
Author
Abstract
We reintroduced the idea of an n-fold compound option as a generalization of Geske's (2-fold) compound option in the same framework of constant interest rates. For the valuation of long-term financial agreements (life insurance products) this assumption is not always realistic so that. the. stochastic modelling of the interest rates might be a better approach. According to Miltersen et al. (1997), we will use the requirement of simple interest rates over a fixed finite period to be log-normal distributed. With these assumptions, closed-form solutions are determined for the n-fold compound call options written on zero-coupon bonds. A numerical illustration of the application of robust methods to interest rates is discussed.
Language
English
Source (journal)
Theory and application of recent robust methods
Source (book)
International Conference on Robust Statistics (ICORS 2003), JUL 13-18, 2003, Antwerp, BELGIUM
Publication
2004
ISBN
3-7643-7060-2
Volume/pages
(2004), p. 343-353
ISI
000225886700030
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 03.01.2013
Last edited 03.05.2017
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