Stochastic duration and fast coupon bond option pricing in multi-factor models (Q375483): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B25 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G30 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6221288 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
term structure of interest rates | |||
| Property / zbMATH Keywords: term structure of interest rates / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
stochastic duration | |||
| Property / zbMATH Keywords: stochastic duration / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
multi-factor models | |||
| Property / zbMATH Keywords: multi-factor models / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
coupon bond option pricing | |||
| Property / zbMATH Keywords: coupon bond option pricing / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
swaption pricing | |||
| Property / zbMATH Keywords: swaption pricing / rank | |||
Normal rank | |||
Revision as of 11:26, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic duration and fast coupon bond option pricing in multi-factor models |
scientific article |
Statements
Stochastic duration and fast coupon bond option pricing in multi-factor models (English)
0 references
30 October 2013
0 references
term structure of interest rates
0 references
stochastic duration
0 references
multi-factor models
0 references
coupon bond option pricing
0 references
swaption pricing
0 references
