AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
Year of publication: |
2005
|
---|---|
Authors: | ALMEIDA, CAIO IBSEN RODRIGUES DE |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 02, p. 161-184
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Consistent term structure models | Multifactor affine processes | Legendre polynomials | derivatives pricing |
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