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- catalog abstract "This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.".
- catalog contributor b8643661.
- catalog created "1994.".
- catalog date "1994".
- catalog date "1994.".
- catalog dateCopyrighted "1994.".
- catalog description "Includes bibliographical references (p. 24-25).".
- catalog description "This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.".
- catalog extent "25 p. :".
- catalog isPartOf "Working paper (Harvard University. Graduate School of Business Administration. Division of Research) ; HBS 95-032.".
- catalog isPartOf "Working paper / Division of Research, Harvard Business School ; 95-032".
- catalog issued "1994".
- catalog issued "1994.".
- catalog language "eng".
- catalog publisher "[Boston] : Division of Research, Harvard Business School,".
- catalog title "Discrete-time bond and option pricing for jump-diffusion processes / Sanjiv R. Das.".
- catalog type "text".