Conference paper

Valuation of Noncentral Chi-squared Distribution for Options on a Zero Coupon Bonds under CIR Diffusion.

Larguinho, Manuela , Dias, José Carlos , Braumann, Carlos A. , Larguinho, Manuela , Braumann, Carlos A.. Corresponding author: Larguinho, Manuela

ISLA — Instituto Politécnico de Gestão e Tecnologia

2011, pp. 1–19 Published by: Associación Española de Contabilidad y Administración de Empresas

Handle: http://www.aeca1.org/pub/on_line/comunicaciones_xvicongresoaeca/general.htm

Keywords

#Option pricing #CIR model #Greeks #Statistical methods

Bibliographic Details

Publication Type Conference paper

Publication Year 2011

ISBN 978-84-96648-53-1

Pagination pp. 1–19

Publisher Associación Española de Contabilidad y Administración de Empresas

Publication Status Published

ISLA Authors & Affiliations

Resume