Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852): Difference between revisions

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Latest revision as of 14:34, 9 July 2024

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Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
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    Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (English)
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    30 January 2015
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    American put options on a bond
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    HJM model
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    forward interest rates
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    Musiela's parametrization
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    optimal stopping
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    infinite-dimensional stochastic analysis
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