Analytical solutions to the pricing of American bond and yield options - HEC Paris - École des hautes études commerciales de Paris Access content directly
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Analytical solutions to the pricing of American bond and yield options

Marc Chesney
  • Function : Author
Groupement de Recherche et d'Etudes en Gestion à HEC
Robert J. Elliott
  • Function : Author
Rajna Gibson
  • Function : Author

Domains

Economy and decision science

Antoine Haldemann  : Connect in order to contact the contributor

https://hal-hec.archives-ouvertes.fr/hal-00611992

Submitted on : Wednesday, July 27, 2011-9:38:40 PM

Last modification on : Friday, March 24, 2023-2:52:54 PM

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hal-00611992 , version 1 (27-07-2011)

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  • HAL Id : hal-00611992 , version 1

Cite

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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