IJPAM: Volume 88, No. 4 (2013)
EXPLICIT BOND OPTION IN HEATH JARROW
MORTON MODEL WITH CONSTANT VOLATILITY
MORTON MODEL WITH CONSTANT VOLATILITY
Abbes Benchaabane
, Azzedine Benchettah
Laboratoire of Applied Mathematics and Modeling
University of Guelma
BP 401, Guelma, 24000, ALGERIA
Laboratoire of Numerical Analysis,
Optimization and Statistics
University of Annaba
BP 12, Annaba, 23000, ALGERIA
, Azzedine Benchettah
Laboratoire of Applied Mathematics and Modeling
University of Guelma
BP 401, Guelma, 24000, ALGERIA
Laboratoire of Numerical Analysis,
Optimization and Statistics
University of Annaba
BP 12, Annaba, 23000, ALGERIA
Abstract. The purpose of this paper is to investigate the Heath Jarrow Morton model (HJM) with constant volatility to provide an explicit formula for European option on zero-coupon bonds.
Received: September 9, 2013
AMS Subject Classification: 91G30, 91B26, 91B70
Key Words and Phrases: interest rates, market models, stochastic models
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DOI: 10.12732/ijpam.v88i4.9 How to cite this paper?
Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2013
Volume: 88
Issue: 4
