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

DOI10.1007/978-3-319-05323-3_12zbMATH Open1318.91192OpenAlexW73185373MaRDI QIDQ5261870FDOQ5261870

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

Recommendations

• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• A dynamic programming approach for pricing options embedded in bonds
• Calibration of the Extended CIR Model
• Numerical evaluation of complex logarithms in the Cox-Ingersoll-Ross model
• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• Title not available (Why is that?)
• 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 (3)

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

This page was built for publication: Valuation of bond options under the CIR model: some computational remarks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5261870)