EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL (Q5696841)
From MaRDI portal
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)
0 references
19 October 2005
0 references
bond options
0 references
swaption
0 references
explicit formula
0 references
HJM model
0 references
one factor model
0 references
hedging
0 references
