Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
Year of publication: |
2012
|
---|---|
Authors: | Beliaeva, Natalia A. ; Nawalkha, Sanjay K. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 1, p. 151-163
|
Subject: | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve | Zero-Bond | Zero-coupon bond |
-
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian, (2017)
-
Beliaeva, Natalia, (2020)
-
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan, (2023)
- More ...
-
A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A., (2010)
-
A new taxonomy of the dynamic term structure models
Nawalkha, Sanjay K., (2010)
-
Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model
Beliaeva, Natalia A., (2008)
- More ...