Pricing American interest rate options under the jump-extended Vasicek model
Year of publication: |
2008
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Authors: | Beliaeva, Natalia A. ; Nawalkha, Sanjay K. ; Soto, Gloria M. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 16.2008/09, 1, p. 29-43
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Subject: | Zinsderivat | Interest rate derivative | Zero-Bond | Zero-coupon bond | Europäisch | European | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | USA | United States |
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