A comparison of Markov-functional and market models : the one-dimensional case
Year of publication: |
2005
|
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Authors: | Bennett, Michael N. ; Kennedy, Joanne E. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 13.2005, 2, p. 22-43
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Subject: | Swap | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
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