An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
| Published: |
Massachusetts Institute of Technology
2007
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/38341 |
| _version_ | 1826215270463569920 |
|---|---|
| author | Akita, Shigeyuki Maruyama, Hiroshi |
| author2 | Andrew W. Lo. |
| author_facet | Andrew W. Lo. Akita, Shigeyuki Maruyama, Hiroshi |
| author_sort | Akita, Shigeyuki |
| collection | MIT |
| description | Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991. |
| first_indexed | 2024-09-23T16:21:14Z |
| format | Thesis |
| id | mit-1721.1/38341 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T16:21:14Z |
| publishDate | 2007 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/383412019-04-10T23:03:16Z An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process Akita, Shigeyuki Maruyama, Hiroshi Andrew W. Lo. Sloan School of Management Sloan School of Management Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991. Includes bibliographical references (leaves 110-119). by Shigeyuki Akita and Hiroshi Maruyama. M.S. 2007-08-03T18:31:55Z 2007-08-03T18:31:55Z 1991 1991 Thesis http://hdl.handle.net/1721.1/38341 25198329 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 119 leaves application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management Akita, Shigeyuki Maruyama, Hiroshi An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title | An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title_full | An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title_fullStr | An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title_full_unstemmed | An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title_short | An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process |
| title_sort | extended yield curve model for bond option pricing using a jump garch m forward rate process |
| topic | Sloan School of Management |
| url | http://hdl.handle.net/1721.1/38341 |
| work_keys_str_mv | AT akitashigeyuki anextendedyieldcurvemodelforbondoptionpricingusingajumpgarchmforwardrateprocess AT maruyamahiroshi anextendedyieldcurvemodelforbondoptionpricingusingajumpgarchmforwardrateprocess AT akitashigeyuki extendedyieldcurvemodelforbondoptionpricingusingajumpgarchmforwardrateprocess AT maruyamahiroshi extendedyieldcurvemodelforbondoptionpricingusingajumpgarchmforwardrateprocess |