Efficient piecewise trees for the generalized Skew Vasicek model with discontinuous drift
Xiaoyang Zhuo, Olivier Menoukeu-Pamen
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Zhuo, Xiaoyang ; Menoukeu-Pamen, Olivier |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 4, p. 1-34
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| Subject: | Skew Vasicek model | discontinuous drift | binomial tree | trinomial tree | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500285 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011687043