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

Mohamad Houda (1)

1 LMRS - Laboratoire de Mathématiques Raphaël Salem

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.

Mots clés: affine model; hitting time; Laplace transform

Domaines: Probabilités [math.PR]

Mohamad Houda. Call option on the maximum of the interest rate in the one factor affine model.. 2013. ⟨hal-00864399⟩