Bond, futures and option evaluation in the quadratic interest rate model
From MaRDI portal
Publication:4541527
DOI10.1080/13504869600000005zbMath1097.91525OpenAlexW2023656244MaRDI QIDQ4541527
Publication date: 1996
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869600000005
Related Items
On the asymptotic behavior of the prices of Asian options, Dynamical analysis of corporate bonds based on the yield spread term-quality surface, A note on the Flesaker-Hughston model of the term structure of interest rates, Ramsey rule with forward/backward utility for long-term yield curves modeling, Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model, HEAT KERNEL MODELS FOR ASSET PRICING, Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model, Moment generating function approach to pricing interest rate and foreign exchange rate claims., The dynamics of implied volatilities: a common principal components approach, Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model, Time-changed CIR default intensities with two-sided mean-reverting jumps, A collateralized loan’s loss under a quadratic Gaussian default intensity process, ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1, THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, Efficient calibration of trinomial trees for one-factor short rate models, A dynamic programming approach for pricing options embedded in bonds, OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED, POLYNOMIAL TERM STRUCTURE MODELS, Consistent fitting of one-factor models to interest rate data., The Riccati equation in mathematical finance.
Cites Work