Analytical solutions to the pricing of American bond and yield options

Marc Chesney, Robert Elliott and Rajna Gibson
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Marc Chesney: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique

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Keywords: Analytical; solutions; pricing; American; bond; yield; options (search for similar items in EconPapers)
Date: 1991
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Published in 1991

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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00611992

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