A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model

DOI10.1016/S0165-1889(98)00031-1zbMath0912.90018OpenAlexW2060944303MaRDI QIDQ1274470

Sanjiv Ranjan Das

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(98)00031-1

zbMATH Keywords

term structure modelsPoisson-Gaussian processpricing of American-type bond options

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing American put option on zero-coupon bond in a jump-extended CIR model ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps

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