Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift (Q5281722)
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scientific article; zbMATH DE number 6752341
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| English | Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift |
scientific article; zbMATH DE number 6752341 |
Statements
EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT (English)
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26 July 2017
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skew Vasicek model
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discontinuous drift
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binomial tree
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trinomial tree
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0.8087584376335144
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0.7465896606445312
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0.7424601912498474
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0.7358006238937378
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0.7320257425308228
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