Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach

Natsumi Ochiai, Masamitsu Ohnishi (Graduate School of Economics, Osaka University, Osaka, Japan)

Year of publication:	November 2015
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
Subject:	Generalized Ho-Lee Model \| Callable Bond \| Putable Bond \| Stochastic Game \| Key Rate Duration \| Anleihe \| Bond \| Stochastisches Spiel \| Stochastic game \| Spieltheorie \| Game theory \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Zinsstruktur \| Yield curve \| CAPM

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