Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American put option on zero-coupon bond in a jump-extended CIR model |
scientific article |
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Pricing American put option on zero-coupon bond in a jump-extended CIR model (English)
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26 January 2016
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jump-diffusion process
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CIR short interest rate model
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American bond option
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Geske-Johnson approach
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