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Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities

Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança. Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. In João M. F. Rodrigues, Pedro J. S. Cardoso, Jânio M. Monteiro, Roberto Lam, Valeria V. Krzhizhanovskaya, Michael Harold Lees, Jack J. Dongarra, Peter M. A. Sloot, editors, Computational Science - ICCS 2019 - 19th International Conference, Faro, Portugal, June 12-14, 2019, Proceedings, Part V. Volume 11540 of Lecture Notes in Computer Science, pages 710-716, Springer, 2019. [doi]

Authors

Allan Jonathan da Silva

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Jack Baczynski

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João Felipe da Silva Bragança

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