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Tim, Xiao
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Xiao, Tim
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An Efficient Lattice Algorithm for the LIBOR Market Model
Xiao, Tim
- In:
Journal of Derivatives
19
(
2011
)
1
,
pp. 25-40
forward measure and several novel fast
drift
approximation
methods. This model should achieve the best performance without …
Persistent link: https://www.econbiz.de/10012022036
Saved in:
2
An efficient lattice algorithm for the libor market model
Tim, Xiao
-
Volkswirtschaftliche Fakultät, …
-
2011
forward measure and several novel fast
drift
approximation
methods. This model should achieve the best performance without …
Persistent link: https://www.econbiz.de/10009277289
Saved in:
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