Valuation of Bond Options Under the CIR Model: Some Computational Remarks

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

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

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)

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 (2)

• La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process

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