Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Sema Coskun, Ralf Korn and Sascha Desmettre
| Year of publication: |
2019
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|---|---|
| Authors: | Coskun, Sema ; Korn, Ralf ; Desmettre, Sascha |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 1, p. 1-24
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| Subject: | Fong-Vasicek (FV) model | Monte Carlo method | Heath-Platen (HP) estimator | variance reduction | bond option pricing | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Schätzung | Estimation |