Pricing American options for interest rate caps and coupon bonds in quantum finance-Reference-Cited by-同舟云学术

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Pricing American options for interest rate caps and coupon bonds in quantum finance

Published:2007-07 Issue: Volume:381 Page:285-316
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Baaquie Belal E.,Liang Cui

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference12 articles.

1. Options, Futures, and Other Derivatives;Hull,2000

2. Modelling Fixed Income Securities and Interest Rate Options;Jarrow,1995

3. Quantum Finance;Baaquie,2004

4. Derivative Securities;Jarrow,2000

5. A path integral way to option pricing;Montagna;Physica A,2002

Cited by 5 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. Bonds with index-linked stochastic coupons in quantum finance;Physica A: Statistical Mechanics and its Applications;2018-06

2. Option price and market instability;Physica A: Statistical Mechanics and its Applications;2017-04

3. Pricing American put option on zero-coupon bond in a jump-extended CIR model;Communications in Nonlinear Science and Numerical Simulation;2015-05

4. The sensitivity analysis of propagator for path independent quantum finance model;Physica A: Statistical Mechanics and its Applications;2011-03

5. Dynamics of implied volatility surfaces from random matrix theory;Physica A: Statistical Mechanics and its Applications;2010-07

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