Bond Option Pricing Under CIR

ClosetChartist · July 30th, 2004, 7:25 pm

Does anyone have this paper in electronic copy?Chen and Scott, "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure", 1992In this paper, the authors use a change of variable to simplify the calculation of a double integral against the product of two non-central chi-square densities to a single integral. I am looking for the details of this change of variable.

MarcusCuda · July 31st, 2004, 8:03 pm

You can grab it from this link:http://rfs.oupjournals.org/cgi/reprint/5/4/613.pdf

ClosetChartist · August 2nd, 2004, 11:14 am

Thank you!!!