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Persistent link: https://www.econbiz.de/10005294269
In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges,...
Persistent link: https://www.econbiz.de/10008521909