Call option on the maximum of the interest rate in the one factor affine model
Pricing of Securities
2013-09-24 v1 Probability
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.
Keywords
Cite
@article{arxiv.1309.5565,
title = {Call option on the maximum of the interest rate in the one factor affine model},
author = {Mohamad Houda},
journal= {arXiv preprint arXiv:1309.5565},
year = {2013}
}