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Analytical solutions to the pricing of American bond and yield options

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https://hal-hec.archives-ouvertes.fr/hal-00611992
Contributor : Antoine Haldemann <>
Submitted on : Wednesday, July 27, 2011 - 9:38:40 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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  • HAL Id : hal-00611992, version 1

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Marc Chesney, Robert Elliott, Rajna Gibson. Analytical solutions to the pricing of American bond and yield options. 1991. ⟨hal-00611992⟩

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