Approximations of bond and swaption prices in a Black-Karasiński model (Q2806362)
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scientific article; zbMATH DE number 6581264
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| English | Approximations of bond and swaption prices in a Black-Karasiński model |
scientific article; zbMATH DE number 6581264 |
Statements
17 May 2016
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stochastic processes
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derivative pricing
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Black-Karasiński model
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Karhunen-Loève expansion
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Approximations of bond and swaption prices in a Black-Karasiński model (English)
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0.8429936766624451
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0.8107567429542542
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0.7676475048065186
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0.76244056224823
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