Option pricing in a one-dimensional affine term structure model via spectral representations (Q4579836)
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scientific article; zbMATH DE number 6915872
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| English | Option pricing in a one-dimensional affine term structure model via spectral representations |
scientific article; zbMATH DE number 6915872 |
Statements
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations (English)
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10 August 2018
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option pricing
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affine terms structure model
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eigenvalue expansions
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non-self-adjoint
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numerical methods
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0.7855069637298584
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0.7620075345039368
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0.7504127621650696
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0.7470430135726929
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0.7453530430793762
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