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

Author(s)
Akita, Shigeyuki; Maruyama, Hiroshi
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Advisor
Andrew W. Lo.
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Description
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.
 
Includes bibliographical references (leaves 110-119).
 
Date issued
1991
URI
http://hdl.handle.net/1721.1/38341
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management
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