Bond pricing under mixed generalized CIR model with mixed Wishart volatility process

Author:

Najafi Ali Reza,Mehrdoust Farshid

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference27 articles.

1. Pricing American put option on zero-coupon bond in a jump-extended CIR model;Deng;Commun. Nonlinear Sci. Numer. Simul.,2015

2. Pricing model for zero-coupon bonds driven by Bessel-squared interest processes with a jump;Chou;Statist. Probab. Lett.,2007

3. Analytical pricing of American put options on a zero-coupon bond in the HeathJarrowMorton model;Chiaroll;Stochastic Process. Appl.,2015

4. Maximum likelihood type estimation for discretely observed CIR model with small-stable noises;Yang;Statist. Probab. Lett.,2016

5. Data-driven input variable selection for rainfall-runoff modeling using binary-coded particle swarm optimization and extreme learning machines;Taormina;J. Hydrol.,2015

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