Application of the Kusuoka approximation with a tree-based branching algorithm to the pricing of interest-rate derivatives under the HJM model
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Publication:3091998
DOI10.1112/S146115700800048XzbMath1221.91055MaRDI QIDQ3091998
Publication date: 15 September 2011
Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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