Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives (Q6538812)
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scientific article; zbMATH DE number 7848243
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| English | Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives |
scientific article; zbMATH DE number 7848243 |
Statements
Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives (English)
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14 May 2024
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interest rate derivatives
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multivariate AJD models
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stochastic volatility
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COS method
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option pricing
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0.6473804116249084
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0.6418449878692627
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0.6245058178901672
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0.6196715235710144
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0.6182863116264343
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