EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT
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Publication:5281722
DOI10.1142/S0219024917500285zbMath1396.91775MaRDI QIDQ5281722
Xiaoyang Zhuo, Olivier Menoukeu Pamen
Publication date: 26 July 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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