A binomial approximation for two-state Markovian HJM models

DOI10.1007/S11147-010-9053-2MaRDI QIDQ539146zbMATHOpenAlexFDO

Authors Massimo Costabile, Emilio Russo, 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

zbMATH Keywords

contingent claimsdiscrete-time modelsinterest rate optionsbinomial algorithms

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1445392 (Why is no real title available?)
• A refined binomial lattice for pricing American Asian options
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(4)

• On the construction and complexity of the bivariate lattice with stochastic interest rate models
• Binomial models for interest rates
• A copula-based approach for generating lattices
• Extensions of the Ho and Lee interest-rate model to the multinomial case

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