A binomial approximation for two-state Markovian HJM models
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Publication:539146
DOI10.1007/s11147-010-9053-2zbMath1213.91159MaRDI QIDQ539146
Emilio Russo, Massimo Costabile, Ivar Massabò
Publication date: 27 May 2011
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-010-9053-2
91G60: Numerical methods (including Monte Carlo methods)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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