A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Year of publication: |
October 2015
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Authors: | Appolloni, Elisa ; Caramellino, Lucia ; Zanette, Antonino |
Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 4, p. 377-401
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Subject: | American options | tree methods | Cox-Ingersoll-Ross model | stochastic interest rate | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve | Black-Scholes-Modell | Black-Scholes model |
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