AFFINE LATTICE MODELS
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Cites work
- A general characterization of one factor affine term structure models
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Estimation of affine asset pricing models using the empirical characteristic function
- Interest rate volatility and the shape of the term structure
- LIBOR and swap market models and measures
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Valuing American options by simulation: a simple least-squares approach
Cited in
(10)- Lattice chain models for affine buildings of classical type.
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Fractional immigration-death processes
- On the transient behaviour of fractional \(M/M/\infty\) queues
- Non-local solvable birth-death processes
- On affine fusion and the phase model
- Regime-switching recombining tree for option pricing
- scientific article; zbMATH DE number 1031329 (Why is no real title available?)
- Continued Classification of 3D Lattice Walks in the Positive Octant
- A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
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