AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING (Q4675930)

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scientific article; zbMATH DE number 2166056
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AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
scientific article; zbMATH DE number 2166056

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    AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING (English)
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    6 May 2005
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    consistent term structure models
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    Multifactor affine processes
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    Legendre polynomials, derivatives pricing
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