A simple class of square-root interest-rate models

DOI10.1080/13504869500000004zbMath1466.91357OpenAlexW2054869858MaRDI QIDQ4994398

Farshid Jamshidian

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000004

zbMATH Keywords

Riccati equationchi-squared distributionyield curvesquare-root processbond optionvolatility curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
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