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New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model

SHAW, W, Kyeongrang Park, S Kim

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Key concepts: Heath–Jarrow–Morton framework, Forward rate, Bond valuation, Bond, Volatility (finance), Valuation of options, Mathematical economics, Econometrics

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New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model — Research Paper | ScholarLens