๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

EXACT FORMULAS FOR PRICING BONDS AND OPTIONS WHEN INTEREST RATE DIFFUSIONS CONTAIN JUMPS

โœ Scribed by John D. Finnerty


Book ID
111215477
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
384 KB
Volume
28
Category
Article
ISSN
0270-2592

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Pricing American options for interest ra
โœ Belal E. Baaquie; Cui Liang ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 456 KB

American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a