Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model |
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Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (English)
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30 January 2015
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American put options on a bond
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HJM model
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forward interest rates
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Musiela's parametrization
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optimal stopping
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infinite-dimensional stochastic analysis
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