A binomial approximation for two-state Markovian HJM models (Q539146): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q282253 |
Changed an Item |
||
| Property / author | |||
| Property / author: Ivar Massabò / rank | |||
Normal rank | |||
Revision as of 15:11, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A binomial approximation for two-state Markovian HJM models |
scientific article |
Statements
A binomial approximation for two-state Markovian HJM models (English)
0 references
27 May 2011
0 references
interest rate options
0 references
contingent claims
0 references
binomial algorithms
0 references
discrete-time models
0 references
