Valuation of Bond Options Under the CIR Model: Some Computational Remarks

DOI10.1007/978-3-319-05323-3_12zbMath1318.91192OpenAlexW73185373MaRDI QIDQ5261870

Manuela Larguinho, José Carlos Dias, Carlos A. dos Santos Braumann

Publication date: 8 July 2015

Published in: New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10174/12654

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• A Theory of the Term Structure of Interest Rates
• Computation of the Noncentral Gamma Distribution
• An equilibrium characterization of the term structure

This page was built for publication: Valuation of Bond Options Under the CIR Model: Some Computational Remarks