A simple trinomial lattice approach for the skew-extended CIR models-Reference-Cited by-同舟云学术

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A simple trinomial lattice approach for the skew-extended CIR models

Published:2017-06-27 Issue:4 Volume:11 Page:499-526
ISSN:1862-9679
Container-title:Mathematics and Financial Economics
language:en
Short-container-title:Math Finan Econ

Author:

Zhuo Xiaoyang,Xu Guangli,Zhang Haoyan

Funder

National Natural Science Foundation of China

the Fundamental Research Funds for the Central Universities in UIBE

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11579-017-0192-1/fulltext.html

Reference41 articles.

1. Appuhamillage, T., Sheldon, D.: First passage time of skew Brownian motion. J. Appl. Probab. 49, 685–696 (2012)

2. Bass, R.F., Chen, Z.Q.: Brownian motion with singular drift. Ann. Probab. 31, 791–817 (2003)

3. Beliaeva, N., Nawalkha, S.: A simple approach to pricing American options under the Heston stochastic volatility model. J. Deriv. 17, 25–43 (2010)

4. Beliaeva, N., Nawalkha, S.: Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. J. Bank. Financ. 36, 151–163 (2012)

5. Cantrell, R., Cosner, C.: Diffusion models for population dynamics incorporating individual behavior at boundaries: applications to refuge design. Theor. Popul. Biol. 55, 189–207 (1999)

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