Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607): Difference between revisions

@@ Property / cites work @@
+Numerical pricing of American put options on zero-coupon bonds.
+Normal rank
@@ Property / cites work @@
+ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+American option valuation under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time bond and option pricing for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
+Normal rank
@@ Property / cites work @@
+The surprise element: Jumps in interest rates.
@@ Property / cites work: The surprise element: Jumps in interest rates. / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Pricing of path-dependent American options by Monte Carlo simulation
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates*
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+American bond option pricing in one-factor dynamic term structure models
+Normal rank
@@ Property / cites work @@
+Q4002884
@@ Property / cites work: Q4002884 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American interest rate option on zero-coupon bond numerically
+Normal rank
@@ Property / cites work @@
+Stochastic Simulation Method for the Term Structure Models with Jump
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank