Efficient and exact simulation of the Gaussian affine interest rate models
Vladimir Ostrovski
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Ostrovski, Vladimir |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 2, p. 1-11
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| Subject: | Affine interest rate models | conditional distribution | Hull-White | G2þþ | simulation | exact | efficient | Simulation | Zinsstruktur | Yield curve | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500092 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011577107