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Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost.

Ali Reza NajafiFarshid MehrdoustShima Shirinpour
Published in: Commun. Stat. Simul. Comput. (2018)
Keyphrases
  • multi objective
  • probabilistic model
  • conceptual framework
  • transaction costs
  • option pricing