Constructing Optimal Samples from a Binomial Lattice

DOI10.1080/02522667.1993.10699144MaRDI QIDQ5286922zbMATHOpenAlexFDO

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

zbMATH Keywords

lattice modelinterest ratesmortgage-backed financing

Mathematics Subject Classification ID

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• A copula-based approach for generating lattices

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