SMBC NIKKOSECURITIES INC, Tokyo, Japan
Graduate School of Economics, Osaka University, Osaka, Japan
Graduate School of Economics, Osaka University, Osaka, Japan
Center for Mathematical Modeling and Data Sciences, Osaka University, Osaka, Japan
Copyright © 2016 Aki Ebina, Natsumi Ochiai, Masamitsu Ohnishi et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
Ebina, A. , Ochiai, N. and Ohnishi, M. (2016) Valuation of Game Swaptions under the Generalized Ho-Lee Model.
Journal of Mathematical Finance,
6, 1002-1016. doi:
10.4236/jmf.2016.65065.