EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL (Q5696841): Difference between revisions
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scientific article; zbMATH DE number 2216223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL |
scientific article; zbMATH DE number 2216223 |
Statements
EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL (English)
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19 October 2005
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bond options
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swaption
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explicit formula
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HJM model
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one factor model
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hedging
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