✦ LIBER ✦
A direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton model
✍ Scribed by Sanjiv Ranjan Das
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 989 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
✦ Synopsis
We employ the term 'Poisson-Gaussian' here to denote the discrete time analog to continuous time jump-diffusion processes.