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A Bond Option Pricing Formula in the...

Liu, Zheng.

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A Bond Option Pricing Formula in the Extended CIR Model.

Record Type:	Electronic resources : Monograph/item
Title/Author:	A Bond Option Pricing Formula in the Extended CIR Model./
Author:	Liu, Zheng.
Description:	38 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-03(E), Section: B.
Contained By:	Dissertation Abstracts International76-03B(E).
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3642116
ISBN:	9781321287691

A Bond Option Pricing Formula in the Extended CIR Model.
Liu, Zheng.

A Bond Option Pricing Formula in the Extended CIR Model. - 38 p.

Source: Dissertation Abstracts International, Volume: 76-03(E), Section: B.

Thesis (Ph.D.)--The Claremont Graduate University, 2014.

This item must not be sold to any third party vendors.

The Cox-Ingersoll-Ross interest rate model (CIR model) is a one factor model that describes interest rate dynamics driven by only one source of market risk. It is a mean reverting stochastic process. The random source is a Brownian motion.

ISBN: 9781321287691Subjects--Topical Terms:

515831
Mathematics.

A Bond Option Pricing Formula in the Extended CIR Model.
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020 $a 9781321287691
035 $a (MiAaPQ)AAI3642116
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100 1 $a Liu, Zheng. $3 2162356
245 1 2 $a A Bond Option Pricing Formula in the Extended CIR Model.
300 $a 38 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-03(E), Section: B.
500 $a Adviser: Henry Schellhorn.
502 $a Thesis (Ph.D.)--The Claremont Graduate University, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a The Cox-Ingersoll-Ross interest rate model (CIR model) is a one factor model that describes interest rate dynamics driven by only one source of market risk. It is a mean reverting stochastic process. The random source is a Brownian motion.
520 $a The model was first introduced by Cox, Ingersoll and Ross in 1985 as an extension of Vasicek model. Maghsoodi solved the distribution of interest rate under this model in constant integer dimension. He also found the analytical formula of bond option price in this case.
520 $a This dissertation studies the extended CIR interest rate model which has time varying parameters. We first find the distribution of interest rate in constant real-valued dimension, which is an extension of Maghsoodi's result. We then study on the time-varying dimension and find the distribution of interest rate. Finally, we find out the closed form formula of the bond option price.
590 $a School code: 0047.
650 4 $a Mathematics. $3 515831
650 4 $a Economics, Finance. $3 626650
650 4 $a Applied Mathematics. $3 1669109
690 $a 0405
690 $a 0508
690 $a 0364
710 2 $a The Claremont Graduate University. $b School of Mathematical Sciences. $3 2096458
773 0 $t Dissertation Abstracts International $g 76-03B(E).
790 $a 0047
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3642116