A binomial approximation for two-state Markovian HJM models
Massimo Costabile; Ivar Massabó; Emilio Russo
| Year of publication: |
2011
|
|---|---|
| Authors: | Costabile, Massimo ; Massabo, Ivar ; Russo, Emilio |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 14.2011, 1, p. 37-65
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| Subject: | Interest rate options | Contingent claims | Binomial algorithms | Discrete-time models | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Markov-Kette | Markov chain | CAPM | Derivat | Derivative | Algorithmus | Algorithm | Wahrscheinlichkeitsrechnung | Probability theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009272493