Discretization of deflated bond prices

DOI10.1239/AAP/1013540178MaRDI QIDQ4507957zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Hui Wang

Publication date 24 November 2002

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1013540178

zbMATH Keywords

discretizationinterest rate modelsmartingalesMonte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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• Polynomial approximation of discounted moments

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