Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750)
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scientific article; zbMATH DE number 7549495
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost |
scientific article; zbMATH DE number 7549495 |
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Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (English)
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28 June 2022
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American put option
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FCIR interest rate model
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Leland's hedging strategy
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zero-coupon bond
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