Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
Author:
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
Cited by 17 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model;Journal of Computational and Applied Mathematics;2024-12
2. TIME SERIES FORECASTING WITH THE CIR# MODEL: FROM HECTIC MARKETS SENTIMENTS TO REGULAR SEASONAL TOURISM;Technological and Economic Development of Economy;2023-07-14
3. Vasicek interest rate model under Lévy process and pricing bond option;Communications in Statistics - Simulation and Computation;2022-01-20
4. Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work;Journal of Forecasting;2021-05-26
5. Bond and Option Prices under Skew Vasicek Model with Transaction Cost;Mathematical Problems in Engineering;2021-05-20
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3