A simple stochastic rate model for rate equity hybrid products
Ernst Eberlein, Dilip Madan, Martijn Pistorius & Marc Yor
| Year of publication: |
2013
|
|---|---|
| Authors: | Eberlein, Ernst ; Madan, Dilip B. ; Pistorius, Martijn ; Yor, Marc |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 461-488
|
| Subject: | Exponential Lévy models | short rate | rate equity hybrid products | large step simulation | quantization | Theorie | Theory | Stochastischer Prozess | Stochastic process | Simulation |
| 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/10010235587