Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Zh. Vychisl. Mat. Mat. Fiz.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2007, Volume 47, Number 4, Pages 626–637 (Mi zvmmf301)  
This article is cited in 1 scientific paper (total in 1 paper)

Modeling of certain problems in financial mathematics: Spread option pricing

K. P. Khorev

Faculty of Mechanics and Mathematics, Moscow State University, Vorob'evy gory, Moscow, 119992, Russia
Full-text PDF (1323 kB) Citations (1)
References:
PDF
HTML
Abstract: The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath–Jarrow–Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data.
Key words: spread option, forward interest rate, Health–Jarrow–Morton model, probabilistic methods.
Received: 24.08.2006
Revised: 18.09.2006
English version:
Computational Mathematics and Mathematical Physics, 2007, Volume 47, Issue 4, Pages 601–611
DOI: https://doi.org/10.1134/S0965542507040057
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: K. P. Khorev, “Modeling of certain problems in financial mathematics: Spread option pricing”, Zh. Vychisl. Mat. Mat. Fiz., 47:4 (2007), 626–637; Comput. Math. Math. Phys., 47:4 (2007), 601–611
Citation in format AMSBIB
\Bibitem{Kho07}
\by K.~P.~Khorev
\paper Modeling of certain problems in financial mathematics: Spread option pricing
\jour Zh. Vychisl. Mat. Mat. Fiz.
\yr 2007
\vol 47
\issue 4
\pages 626--637
\mathnet{http://mi.mathnet.ru/zvmmf301}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2376626}
\zmath{https://zbmath.org/?q=an:05200946}
\transl
\jour Comput. Math. Math. Phys.
\yr 2007
\vol 47
\issue 4
\pages 601--611
\crossref{https://doi.org/10.1134/S0965542507040057}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-34248138399}
Linking options:
  • https://www.mathnet.ru/eng/zvmmf301
  • https://www.mathnet.ru/eng/zvmmf/v47/i4/p626
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
    Statistics & downloads:
    Abstract page:360
    Full-text PDF :236
    References:51
    First page:1
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024