Pages that link to "Item:Q2806362"
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The following pages link to Approximations of bond and swaption prices in a Black-Karasiński model (Q2806362):
Displaying 5 items.
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model (Q2929374) (← links)
- Closed-form Arrow-Debreu pricing for the Hull-White short rate model (Q5120737) (← links)
- A path-integral approximation for non-linear diffusions (Q5215434) (← links)
- (Q5413580) (← links)