Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models

DOI10.4236/am.2010.11006zbMath1202.91327MaRDI QIDQ3065132

Ghulam Sorwar, Sharif Mozumder

Publication date: 4 January 2011

Published in: Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4236/am.2010.11006

zbMATH Keywords

derivatives; interest rates; box method; stochastic

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)