A simple stochastic rate model for rate equity hybrid products
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 |
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