A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model.
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- IMA Journal of Management Mathematics, 2015, v. 26, n. 4, p. 377, doi. 10.1093/imaman/dpt030
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- Article
Works matching IS 1471678X AND DT 2015 AND VI 26 AND IP 4
Results: 3
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2
Capital requirements and optimal investment with solvency probability constraints.
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- IMA Journal of Management Mathematics, 2015, v. 26, n. 4, p. 345, doi. 10.1093/imaman/dpt029
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- Article
3
An analytic formula for pricing American-style convertible bonds in a regime switching model.
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- IMA Journal of Management Mathematics, 2015, v. 26, n. 4, p. 403, doi. 10.1093/imaman/dpu005
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- Article