A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Emilio Russo and Alessandro Staino
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Russo, Emilio ; Staino, Alessandro |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 4, p. 1-18
|
| Subject: | Interest-sensitive claims | stochastic volatility | binomial algorithms | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Zinsstruktur | Yield curve | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500231 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011892605