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European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate

https://doi.org/10.2139/ssrn.2053538
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/jsco.2001.0508openalex-extracted
The Riccati Equation in Mathematical Finance
inferredcites →https://doi.org/10.1088/1751-8113/40/35/012openalex-extracted
Solutions for certain classes of the Riccati differential equation
inferredcites →https://doi.org/10.2139/ssrn.1519674openalex-extracted
Forward Density Approach to European Option Under Stochastic Interest Rate
inferredcites →https://doi.org/10.2139/ssrn.1519676openalex-extracted
Regular Perturbation Approach to Nonsteady Drift of the Cox-Ingersoll-Ross Model
inferredcites →https://doi.org/10.2139/ssrn.1519677openalex-extracted
Drift of the Cox-Ingersoll-Ross Model Under Time-Varying Mean-Reversion
inferredcites →https://doi.org/10.2307/2965618openalex-extracted
Financial Calculus: An Introduction to Derivative Pricing.

What points at this work

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inferred← citeshttps://doi.org/10.2139/ssrn.2072614openalex-extracted
European Option Under Jump-Diffusion and Stochastic Interest Rate
inferred← citeshttps://doi.org/10.2139/ssrn.2320095openalex-extracted
Calibrating Drift of Short-Rate Models with Jump-Diffusion
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