Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607)
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scientific article; zbMATH DE number 6535559
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| English | Pricing American put option on zero-coupon bond in a jump-extended CIR model |
scientific article; zbMATH DE number 6535559 |
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Pricing American put option on zero-coupon bond in a jump-extended CIR model (English)
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26 January 2016
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jump-diffusion process
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CIR short interest rate model
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American bond option
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Geske-Johnson approach
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0.94358313
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0.9290821
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0.91240203
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0.9038017
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0.9030126
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0.89334977
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0.8810353
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