SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
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Publication:4226856
DOI10.1111/j.1467-9965.1996.tb00113.xzbMath0915.90026MaRDI QIDQ4226856
Publication date: 5 July 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00113.x
stochastic differential equations; interest rates; term structure; bond option pricing; representation of martingales; extended Cox-Ingersoll-Ross model; square-root models; closed-form pathwise unique solutions
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- Two singular diffusion problems
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- Bessel diffusions as a one-parameter family of diffusion processes
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Pricing Interest-Rate-Derivative Securities
- ON CONTINUOUS MARTINGALES
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