EXPLICIT BOND OPTION IN HEATH JARROW MORTON MODEL WITH CONSTANT VOLATILITY

DOI10.12732/IJPAM.V88I4.9zbMath1279.91169OpenAlexW2080010627MaRDI QIDQ2867759

Azzedine Benchettah, Abbes Benchaabane

Publication date: 20 December 2013

Published in: International Journal of Pure and Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ijpam.eu/contents/2013-88-4/9/index.html

zbMATH Keywords

interest ratesstochastic modelsmarket models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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