Pricing American Interest Rate Options Under the Jump-Extended CIR and CEV Short Rate Models

2007 ◽  
Author(s):  
Natalia Beliaeva ◽  
Sanjay K. Nawalkha ◽  
Gloria M. Soto
Keyword(s):  
Interest Rate ◽  
Interest Rate Options ◽  
American Interest ◽  
Short Rate Models

Pricing American Interest Rate Options under the Jump-Extended Vasicek Model

2008 ◽  
Vol 16 (1) ◽  
pp. 29-43 ◽  
Author(s):  
Natalia A. Beliaeva ◽  
Sanjay K. Nawalkha ◽  
Gloria M. Soto
Keyword(s):  
Interest Rate ◽  
Vasicek Model ◽  
Interest Rate Options ◽  
American Interest ◽  
Extended Vasicek Model

Implicit Volatility and the Pricing of Stock Index and Interest Rate Options in US Markets

1994 ◽  
Vol 20 (5) ◽  
pp. 79-89
Author(s):  
George C. Philippatos ◽  
Nicolas Gressis ◽  
Philip L. Baird
Keyword(s):  
Interest Rate ◽  
Stock Index ◽  
Interest Rate Options
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