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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.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A Bond Option Pricing Formula in the Extended CIR Model./
作者:	Liu, Zheng.
面頁冊數:	38 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-03(E), Section: B.
Contained By:	Dissertation Abstracts International76-03B(E).
標題:	Mathematics. -
電子資源:	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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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
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710 2 $a The Claremont Graduate University. $b School of Mathematical Sciences. $3 2096458
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793 $a English
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