ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS (Q5493849)
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scientific article; zbMATH DE number 5064492
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| English | ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS |
scientific article; zbMATH DE number 5064492 |
Statements
ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS (English)
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16 October 2006
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Markovian interest rate model
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American option
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early exercise premium
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analytic backward induction
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critical boundary
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0.7984017133712769
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0.7780336737632751
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0.7718455195426941
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0.7693145275115967
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0.76274174451828
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