A binomial approximation for two-state Markovian HJM models (Q539146): Difference between revisions

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+WHEN IS THE SHORT RATE MARKOVIAN?
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+A refined binomial lattice for pricing American Asian options
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+Convergence of numerical methods for valuing path-dependent options using interpolation
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Convergence of Binomial Tree Methods for European/American Path-Dependent Options
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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