SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION

DOI10.1111/j.1467-9965.1996.tb00113.xzbMath0915.90026OpenAlexW2163208662MaRDI 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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