An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process

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.

Bibliographic Details
Main Authors: Akita, Shigeyuki, Maruyama, Hiroshi
Other Authors: Andrew W. Lo.
Format: Thesis
Language:eng
Published: Massachusetts Institute of Technology 2007
Subjects:
Sloan School of Management
Online Access:http://hdl.handle.net/1721.1/38341

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