Polynomial algorithms for pricing path-dependent interest rate instruments

DOI10.1007/S10614-006-9049-ZMaRDI QIDQ862839zbMATH OpenOpenAlexWikidataFDO

Authors Ronald Hochreiter, Georg Ch. Pflug

Publication date 24 January 2007

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-006-9049-z

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• LIBOR and swap market models and measures
• Pricing interest-rate-derivative securities
• The Market Model of Interest Rate Dynamics
• Valuing American options by simulation: a simple least-squares approach

Cited in

(2)

• A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

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