collaborators

1 paper

math.PR2013

A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility

Zheng Liu, Qidi Peng, henry Schellhorn

We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of…