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Bond and option pricing for interest rate model with clustering effects - MaRDI portal

Bond and option pricing for interest rate model with clustering effects (Q4554475)

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scientific article; zbMATH DE number 6979506
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English
Bond and option pricing for interest rate model with clustering effects
scientific article; zbMATH DE number 6979506

    Statements

    title
    Bond and option pricing for interest rate model with clustering effects (English)
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    author
    Xin Zhang
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    Yang Shen
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    Jie Xiong
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    publication date
    14 November 2018
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    zbMATH Keywords
    interest rate modelling
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    marked point process
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    Hawkes processes
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    bond pricing
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    bond option
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    cites work
    Q4218391
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    Q3969647
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    Q5649230
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    Q4778955
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    Q4850018
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    Q3992729
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    Identifiers

    zbMATH DE Number
    6979506
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    OpenAlex ID
    W2768338064
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