A binomial approximation for two-state Markovian HJM models (Q539146)

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A binomial approximation for two-state Markovian HJM models
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    title
    A binomial approximation for two-state Markovian HJM models (English)
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    author
    Massimo Costabile
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    Emilio Russo
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    Ivar Massabò
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    publication date
    27 May 2011
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    91G30
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    zbMATH DE Number
    5900591
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    zbMATH Keywords
    interest rate options
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    contingent claims
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    binomial algorithms
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    discrete-time models
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