Pricing American put option on zero-coupon bond in a jump-extended CIR model
type: Item
instance of: scholarly article
title: Pricing American put option on zero-coupon bond in a jump-extended CIR model
zbMATH Open document ID: 1329.91129
author: Guohe Deng
published in: Communications in Nonlinear Science and Numerical Simulation
publication date: 2016-01-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6535559
zbMATH Keywords: jump-diffusion process
zbMATH Keywords: CIR short interest rate model
zbMATH Keywords: American bond option
zbMATH Keywords: Geske-Johnson approach
MaRDI profile type: Publication
full work available at URL: j.cnsns.2014.10.003
OpenAlex ID: W1996818761
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cites work: Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates*
cites work: Pricing Interest-Rate-Derivative Securities
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cites work: Q4002884
cites work: Pricing American interest rate option on zero-coupon bond numerically
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cites work: An equilibrium characterization of the term structure
DOI: 10.1016/J.CNSNS.2014.10.003
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description: scientific article; zbMATH DE number 6535559