Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Year of publication: |
November 2015
|
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Authors: | Ochiai, Natsumi ; Ohnishi, Masamitsu |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 4, p. 412-422
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Subject: | Generalized Ho-Lee Model | Callable Bond | Putable Bond | Stochastic Game | Key Rate Duration | Zinsstruktur | Yield curve | Stochastisches Spiel | Stochastic game | Optionspreistheorie | Option pricing theory | Spieltheorie | Game theory | Anleihe | Bond | CAPM | Zinsderivat | Interest rate derivative |
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