ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup> (Q4372015)
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scientific article; zbMATH DE number 1106701
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| English | ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup> |
scientific article; zbMATH DE number 1106701 |
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ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup> (English)
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21 January 1998
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American bond option
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Bessel processes
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early exercise premium
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free boundary approach
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optimal stopping
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term structure of interest rates
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yield option
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0.8349404335021973
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0.8134337067604065
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0.7917499542236328
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0.7885576486587524
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