Constructing Optimal Samples from a Binomial Lattice

DOI10.1080/02522667.1993.10699144zbMATH Open0771.90006OpenAlexW2079355481MaRDI QIDQ5286922FDOQ5286922

Authors: Michael S. Shtilman, Stavros A. Zenios 

Publication date: 30 September 1993

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1993.10699144

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zbMATH Keywords

lattice modelinterest ratesmortgage-backed financing

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)

Cited In (6)

• Pricing American-style securities using simulation
• From data to model and back to data: A bond portfolio management problem
• A copula-based approach for generating lattices
• Building initial partitions through sampling techniques
• Title not available (Why is that?)
• Horizon and stages in applications of stochastic programming in finance

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