Pricing American options for interest rate caps and coupon bonds in quantum finance

Physica A: Statistical Mechanics and its Applications

Volumn 381, Issue 1-2, 2007, Pages 285-316

  Baaquie, Belal E ^a   Liang, Cui ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

American option; Cap and coupon bond option; Quantum finance

Indexed keywords

ALGORITHMS; COMPUTATION THEORY; CORRELATION METHODS; FINANCE; FINANCIAL DATA PROCESSING; QUANTUM COMPUTERS;

AMERICAN OPTION; CAP OPTION; COUPON BOND OPTION; QUANTUM FINANCE;

INDUSTRIAL ECONOMICS;

EID: 34249704058     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.02.054     Document Type: Article

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