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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 Connect in order to contact the contributor
Submitted on : Wednesday, July 27, 2011 - 9:38:40 PM
Last modification on : Saturday, June 25, 2022 - 10:52:35 AM

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  • HAL Id : hal-00611992, version 1

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HEC | CNRS | LARA

Citation

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

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