Valuation of bond options under the CIR model: some computational remarks

DOI10.1007/978-3-319-05323-3_12MaRDI QIDQ5261870zbMATH OpenOpenAlexFDO

Authors Manuela Larguinho, José Carlos Dias, Carlos A. dos Santos Braumann

Publication date 8 July 2015

Published in New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10174/12654

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Computation of the Noncentral Gamma Distribution
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient

Cited in

(4)

• La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
• Pricing CIR yield options by conditional moment matching
• A dynamic programming approach for pricing options embedded in bonds
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process

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