Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (Q5084750)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7549495
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost |
scientific article; zbMATH DE number 7549495 |
Statements
Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost (English)
0 references
28 June 2022
0 references
American put option
0 references
FCIR interest rate model
0 references
Leland's hedging strategy
0 references
zero-coupon bond
0 references
0 references
