Publications des institutions partenaires
A Calderon-Zygmund extension theorem for abstract Sobolev spaces
Institution partenaire
English / 01/01/1995
Analytical solutions for the pricing of american bond and yield options
In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate...
Institution partenaire
English / 01/01/1993
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
Institution partenaire
English / 01/01/1993
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