Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models
Year of publication: |
2005
|
---|---|
Authors: | Leippold, Markus ; Wiener, Zvi |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 7.2005, 3, p. 213-239
|
Publisher: |
Springer |
Subject: | short rate models | trinomial trees | forward measure |
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