Showing 1 - 10 of 2,481
Persistent link: https://www.econbiz.de/10011587747
Persistent link: https://www.econbiz.de/10009562136
Persistent link: https://www.econbiz.de/10012198741
Persistent link: https://www.econbiz.de/10011777842
Persistent link: https://www.econbiz.de/10012419633
Persistent link: https://www.econbiz.de/10000908299
Persistent link: https://www.econbiz.de/10001935996
We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, which involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse...
Persistent link: https://www.econbiz.de/10013099259
Persistent link: https://www.econbiz.de/10010243641
Persistent link: https://www.econbiz.de/10010187681