Short Communications - The generalization of the Geske-formula for compound options to stochastic interest rates is not trivial -- A note (English)
- New search for: Frey, Rüdiger
- New search for: Frey, Rüdiger
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In:
Journal of applied probability
;
35
, 2
; 501-509
;
1998
-
ISSN:
- Article (Journal) / Print
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Title:Short Communications - The generalization of the Geske-formula for compound options to stochastic interest rates is not trivial -- A note
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Contributors:Frey, Rüdiger ( author ) / Sommer, Daniel
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Published in:Journal of applied probability ; 35, 2 ; 501-509
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Publisher:
- New search for: Cambridge University Press
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Place of publication:Cambridge
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Publication date:1998
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ISSN:
-
ZDBID:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 31.70 / 31.70
- Further information on Basic classification
- New search for: 275/3135
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Keywords:
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Classification:
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Source:
Table of contents – Volume 35, Issue 2
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 255
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Research Papers - Exponential functionals of Brownian motion and disordered systemsComtet, Alain et al. | 1998
- 255
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Exponential functionals of Brownian motion and disordered systemsComtet, A. / Monthus, C. / Yor, M. et al. | 1998
- 272
-
On a formula of Takacs for Brownian motion with driftDoney, R. A. / Yor, M. et al. | 1998
- 272
-
Research Papers - On a formula of Takács for Brownian motion with driftDoney, R.A. et al. | 1998
- 281
-
Research Papers - Multitype processes with reproduction-dependent immigrationRahimov, Ibrahim et al. | 1998
- 281
-
Multitype processes with reproduction-dependent immigrationRahimov, I. et al. | 1998
- 293
-
Controlled Markov set-chains with discountingKurano, M. / Song, J. / Hosaka, M. / Huang, Y. et al. | 1998
- 293
-
Research Papers - Controlled Markov set-chains with discountingKurano, Masami et al. | 1998
- 303
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On the variance to mean ratio for random variables from Markov chains and point processesBrown, T. C. / Hamza, K. / Xia, A. et al. | 1998
- 303
-
Research Papers - On the variance to mean ratio for random variables from Markov chains and point processesBrown, Timothy C. et al. | 1998
- 313
-
A canonical representation for aggregated Markov processesLarget, B. et al. | 1998
- 313
-
Research Papers - A canonical representation for aggregated Markov processesLarget, Bret et al. | 1998
- 325
-
Research Papers - Subexponential asymptotics of a Markov-modulated random walk with queueing applicationsJelenkovic, Predrag R. et al. | 1998
- 325
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Subexponential asymptotics of a Markov-modulated random walk with queueing applicationsJelenkovic, P. R. / Lazar, A. A. et al. | 1998
- 348
-
Stochastic comparison of repairable systems by couplingLast, G. / Szekli, R. et al. | 1998
- 348
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Research Papers - Stochastic comparison of repairable systems by couplingLast, Günter et al. | 1998
- 371
-
Research Papers - A series expansion approach to the inverse problemAngulo, J.M. et al. | 1998
- 371
-
A series expansion approach to the inverse problemAngulo, J. M. / Ruiz-Medina, M. D. et al. | 1998
- 383
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First-passage-time densities and avoiding probabilities for birth- and-death processes with symmetric sample pathsDi Crescenzo, A. et al. | 1998
- 383
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Research Papers - First-passage-time densities and avoiding probabilities for birth-and-death processes with symmetric sample pathsCrescenzo, Antonio Di et al. | 1998
- 395
-
Research Papers - Globally convergent stochastic optimization with optimal asymptotic distributionDippon, Jürgen et al. | 1998
- 395
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Globally convergent stochastic optimization with optimal asymptotic distributionDippon, J. et al. | 1998
- 407
-
Stochastic approximation with non-additive measurement noiseChen, H.-F. et al. | 1998
- 407
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Research Papers - Stochastic approximation with non-additive measurement noiseChen, Han-Fu et al. | 1998
- 418
-
Absorbing process in recursive stochastic equationsNakatsuka, T. et al. | 1998
- 418
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Research Papers - Absorbing process in recursive stochastic equationsNakatsuka, Toshinao et al. | 1998
- 427
-
Research Papers - On identifiability in the autopsy model of reliability systems of life-monitored and conditionally lifemonitored componentsGåsemyr, Jørund et al. | 1998
- 427
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On identifiability in the autopsy model of reliability systems of life-monitored and conditionally life-monitored componentsGaasemyr, J. et al. | 1998
- 438
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Robustness results for the coalescentMoehle, M. et al. | 1998
- 438
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Research Papers - Robustness results for the coalescentMöhle, M. et al. | 1998
- 448
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Research Papers - A deterministic epidemic model taking account of repeated contacts between the same individualsDiekmann, O. et al. | 1998
- 448
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A deterministic epidemic model taking account of repeated contacts between the same individualsDiekmann, O. / De Jong, M. C. M. / Metz, J. A. J. et al. | 1998
- 463
-
Optimal and myopic search in a binary random vectorDor, A. / Greenshtein, E. / Korach, E. et al. | 1998
- 463
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Research Papers - Optimal and myopic search in a binary random vectorDor, Avner et al. | 1998
- 473
-
Research Papers - On closed support T-invariants and the traffic equationsBoucherie, Richard J. et al. | 1998
- 473
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On closed support T-invariants and the traffic equationsBoucherie, R. J. / Sereno, M. et al. | 1998
- 482
-
Short Communications - PM-l-policy for a dam with input formed by a compound Poisson processLee, Eui Yong et al. | 1998
- 482
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P^M~lambda-policy for a dam with input formed by a compound Poisson processEui Yong Lee / Ahn, S. K. et al. | 1998
- 489
-
Absorption sampling and the absorption distributionKemp, A. W. et al. | 1998
- 489
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Short Communications - Absorption sampling and the absorption distributionKemp, Adrienne W. et al. | 1998
- 495
-
Expected measure of the union of random rectanglesChao, C.-C. / Hwang, H.-K. / Liang, W.-Q. et al. | 1998
- 495
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Short Communications - Expected measure of the union of random rectanglesChao, Chern-Ching et al. | 1998
- 501
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Short Communications - The generalization of the Geske-formula for compound options to stochastic interest rates is not trivial -- A noteFrey, Rüdiger et al. | 1998
- 501
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The generalization of the Geske-formula for compound options to stochastic interest rates is not trivialFrey, R. / Sommer, D. et al. | 1998
- 510
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Short Communications - A comparison of the stationary distributions of GI-M-c-n and GI-M-cSimonot, F. et al. | 1998
- 510
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A comparison of the stationary distributions of GI/M/c/n and GI/M/cSimonot, F. et al. | 1998
- 516
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Correction| 1998