Modelling of dynamical interest rates using binomial and trinomial trees

DOI10.17654/MS099060909MaRDI QIDQ2820429zbMATH OpenOpenAlexFDO

Authors D. Permana, A. R. Effendie, Udjianna S. Pasaribu, S. W. Indratno, Suprayogi

Publication date 16 September 2016

Published in Far East Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/9666.htm

zbMATH Keywords

binomial treefitting and predictioninterest ratemodellingtrinomial tree

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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