A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Year of publication: |
June 2015
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Authors: | Coonjobeharry, Radha Krishn ; Tangman, Désiré Yannick ; Bhuruth, Muddun |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2014/2015, 4, p. 129-161
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Subject: | bond | interest rate option | jump-diffusion model | partial integrodifferential equation | finite difference | Simpson's quadrature | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Zins | Interest rate | Anleihe | Bond |
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