An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process
Author(s)Akita, Shigeyuki; Maruyama, Hiroshi
Andrew W. Lo.
MetadataShow full item record
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.Includes bibliographical references (leaves 110-119).
DepartmentSloan School of Management
Massachusetts Institute of Technology
Sloan School of Management