A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Radha Krishn Coonjobeharry, Désiré Yannick Tangman and Muddun Bhuruth
| Year of publication: |
June 2015
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| Authors: | Coonjobeharry, Radha Krishn ; Tangman, Désiré Yannick ; Bhuruth, Muddun |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/2015, 4, p. 129-161
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| Subject: | bond | interest rate option | jump-diffusion model | partial integrodifferential equation | finite difference | Simpson's quadrature | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441273