On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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@@ Property / zbMATH DE Number @@
+5930037
@@ Property / zbMATH DE Number: 5930037 / rank @@
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@@ Property / zbMATH Keywords @@
+lattice
@@ Property / zbMATH Keywords: lattice / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic interest rate model
@@ Property / zbMATH Keywords: stochastic interest rate model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+complexity
@@ Property / zbMATH Keywords: complexity / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2010.12.061
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@@ Property / OpenAlex ID @@
+W2047380170
@@ Property / OpenAlex ID: W2047380170 / rank @@
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A Theory of the Term Structure of Interest Rates
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+Stochastic calculus for finance. II: Continuous-time models.
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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@@ Property / cites work @@
+Q2768497
@@ Property / cites work: Q2768497 / rank @@
+Normal rank
@@ Property / cites work @@
+Calibrating the Black-Derman-Toy model: some theoretical results
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@@ links / mardi / name / links / mardi / name @@
+Publication:552270