AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL (Q2929374): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1142/s021902491450037x / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3125499251 / rank | |||
Normal rank |
Latest revision as of 09:15, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL |
scientific article |
Statements
AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL (English)
0 references
12 November 2014
0 references
stochastic processes
0 references
Black-Karasinski
0 references
derivative pricing
0 references
power series expansions
0 references