Bond and option pricing for interest rate model with clustering effects
Year of publication: |
June 2018
|
---|---|
Authors: | Zhang, Xin ; Xiong, Jie ; Shen, Yang |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 969-981
|
Subject: | Interest rate modelling | Marked point process | Hawkes processes | Bond pricing | Bond option | Zinsstruktur | Yield curve | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zins | Interest rate |
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