Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
Olivier Menoukeu-Pamen, Guangli Xu, Xiaoyang Zhuo
| Year of publication: |
2023
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|---|---|
| Authors: | Menoukeu-Pamen, Olivier ; Xu, Guangli ; Zhuo, Xiaoyang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 5, p. 843-862
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| Subject: | Binomial lattice | Bond pricing | Finite difference | Regulated market | Skew CEV model | Zinsstruktur | Yield curve | Anleihe | Bond | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2174040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304369