SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (Q4226856)
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scientific article; zbMATH DE number 1253658
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| English | SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION |
scientific article; zbMATH DE number 1253658 |
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SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (English)
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5 July 1999
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square-root models
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representation of martingales
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bond option pricing
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extended Cox-Ingersoll-Ross model
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interest rates
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closed-form pathwise unique solutions
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stochastic differential equations
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term structure
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0.8027693629264832
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0.7921186089515686
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0.7897837162017822
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0.7852908372879028
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