Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
Allan Jonathan da Silva, Jack Baczynski
| Year of publication: |
2024
|
|---|---|
| Authors: | Silva, Allan Jonathan da ; Baczynski, Jack |
| Subject: | COS method | Interest rate derivatives | Multivariate AJD models | Option pricing | Stochastic volatility | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-024-00514-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636797