Solution of the extended CIR term structure and bond option valuation

Mathematical Finance

Volumn 6, Issue 1, 1996, Pages 89-109

  Maghsoodi, Yoosef ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Bond option pricing; Interest rates; Representation of martingales; Solution of stochastic differential equations; Square root models; Term structure; Time and measure transformations

Indexed keywords

EID: 0040655929     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00113.x     Document Type: Article

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