New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model.
Resource URI: https://dblp.l3s.de/d2r/resource/publications/conf/iccsa/ParkKS09
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2009
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New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model.
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Heath-Jarrow-Morton (HJM) model; Brace-Gatarek-Musiela (BGM) model; and Bond Option
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New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model.
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