A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model (Q5382670)

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scientific article; zbMATH DE number 7067501
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A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
scientific article; zbMATH DE number 7067501

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    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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