A simple induction approach and an efficient trinomial lattice for multi-state variable interest rate derivatives models
Year of publication: |
2005
|
---|---|
Authors: | Kramin, Marat V. ; Kramin, Timur V. ; Younger, Stephen D. ; Dharan, Venkat G. |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 24.2005, 2, p. 199-226
|
Subject: | Markov-Kette | Markov chain | Zins | Interest rate | Derivat | Derivative |
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