A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model (Q5382670): Difference between revisions
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scientific article; zbMATH DE number 7067501
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model |
scientific article; zbMATH DE number 7067501 |
Statements
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model (English)
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18 June 2019
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American options
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tree methods
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Cox-Ingersoll-Ross model
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stochastic interest rate
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