On the construction and complexity of the bivariate lattice with stochastic interest rate models

DOI10.1016/J.CAMWA.2010.12.061MaRDI QIDQ552270zbMATH OpenOpenAlexFDO

Authors Yuh-Dauh Lyuu, Chuan-Ju Wang

Publication date 21 July 2011

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2010.12.061

zbMATH Keywords

complexitylatticestochastic interest rate model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Calibrating the Black-Derman-Toy model: some theoretical results
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Financial engineering and computation. Principles, mathematics, algorithms
• On accurate and provably efficient GARCH option pricing algorithms
• Option pricing: A simplified approach
• Pricing interest-rate-derivative securities
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities

Cited in

(3)

• The waterline tree for separable local-volatility models
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

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