Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2003
In this paper we study and implement a finite difference version of the augmented <p> state variable approach proposed by Hull & White (1993) that allows for pathdependent <p> securities. We apply the method to a class of path-dependent interest <p> rate derivatives and consider several examples...</p></p></p>