A binomial approximation for two-state Markovian HJM models
| Year of publication: |
2011
|
|---|---|
| Authors: | Costabile, Massimo ; Massabó, Ivar ; Russo, Emilio |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 14.2011, 1, p. 37-65
|
| Publisher: |
Springer |
| Subject: | Interest rate options | Contingent claims | Binomial algorithms | Discrete-time models |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008926018