Interest Rate Option Pricing With Poisson-Gaussian Forward Rate Curve Processes
AbstractWe study a continuous trading bond model where the associated forward rate curve follows a multidimensional Poisson-Gaussian process. the bond market is complete, and the unique arbitrage-free interest rate call option price is explicitly derived. Copyright 1991 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 1 (1991)
Issue (Month): 4 ()
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