SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.1996.tb00113.x/fullpdf
Reference32 articles.
1. General Solutions of Some Interest Rate-Contingent Claim Pricing Equations
2. The term structure of real interest rates and the Cox, Ingersoll, and Ross model
3. Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1
4. A Theory of the Nominal Term Structure of Interest Rates
Cited by 93 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. Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions;Decisions in Economics and Finance;2023-05-25
2. Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension;Mathematics;2023-03-06
3. Valuation of volatility derivatives with time-varying volatility: An analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case;Journal of Computational and Applied Mathematics;2023-01
4. A closed-form expansion for the conditional expectations of the extended CIR process;Heliyon;2022-10
5. Closed-form formula for conditional moments of generalized nonlinear drift CEV process;Applied Mathematics and Computation;2022-09
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