Call option on the maximum of the interest rate in the one factor affine model.

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.

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Additional Info

Field Value
Source https://hal.science/hal-00864399
Author Houda, Mohamad
Maintainer CCSD
Last Updated May 9, 2026, 16:08 (UTC)
Created May 9, 2026, 16:08 (UTC)
Identifier hal-00864399
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire de Mathématiques Raphaël Salem (LMRS) ; Université de Rouen Normandie (UNIROUEN) ; Normandie Université (NU)-Normandie Université (NU)-Centre National de la Recherche Scientifique (CNRS)
creator Houda, Mohamad
date 2013-09-21T00:00:00
harvest_object_id 8a98b708-4f48-4c4a-871d-93fecb6940c3
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2024-05-02T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1309.5565
set_spec type:UNDEFINED