Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
Natalia Beliaeva; Sanjay Nawalkha
| Year of publication: |
2012
|
|---|---|
| Authors: | Beliaeva, Natalia A. ; Nawalkha, Sanjay K. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 1, p. 151-163
|
| Subject: | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve | Zero-Bond | Zero-coupon bond |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009411156