A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models
Marat V. Kramin, Timur V. Kramin, Stephen D. Young, Venkat G. Dharan
| Year of publication: |
2005
|
|---|---|
| Authors: | Kramin, Marat V. ; Kramin, Timur V. ; Younger, Stephen D. ; Dharan, Venkat G. |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 24.2005, 2, p. 199-226
|
| Subject: | Markov-Kette | Markov chain | Zins | Interest rate | Derivat | Derivative |
| 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/10002851875