A multi-factor Markovian HJM model for pricing American interest rate derivatives
| Year of publication: |
2008
|
|---|---|
| Authors: | Kramin, Marat ; Nandi, Saikat ; Shulman, Alexander |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 31.2008, 4, p. 359-378
|
| Publisher: |
Springer |
| Subject: | Monte Carlo simulation | Lattice | Recombining tree | American derivatives | Markovian HJM framework | Multi-state variable multi-factor model | Interest rate options | Computational efficiency |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005673873