A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Elisa Appolloni (MEMOTEF, Università di Roma La Sapienza, Rome, Italy), Lucia Caramellino (Dipartimento di Matematica, Università di Roma, Rome, Italy) and Antonino Zanette (Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy)
| Year of publication: |
October 2015
|
|---|---|
| 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
|
| Subject: | American options | tree methods | Cox-Ingersoll-Ross model | stochastic interest rate | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpt030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011515669