Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852)
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scientific article; zbMATH DE number 6393562
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| English | Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model |
scientific article; zbMATH DE number 6393562 |
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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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0.8374505043029785
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0.8349404335021973
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0.8029425144195557
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0.8016024827957153
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