Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model (2015)
Attributed to:
Optimal Prediction in Local Electricity Markets
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.spa.2014.09.021
Publication URI: http://dx.doi.org/10.1016/j.spa.2014.09.021
Type: Journal Article/Review
Parent Publication: Stochastic Processes and their Applications
Issue: 2