The asymptotic expansion approach to the valuation of interest rate contingent claims

DOI10.1111/1467-9965.00110zbMATH Open0994.91023OpenAlexW1970983928MaRDI QIDQ2707166FDOQ2707166

Authors: Naoto Kunitomo, Akihiko Takahashi 

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00110

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zbMATH Keywords

small disturbance asymptoticsterm structure of interestderivatives asymptotic expansion

Mathematics Subject Classification ID

Stochastic analysis (60H99)

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