A spectral algorithm for pricing interest rate options (Q1915790)
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scientific article; zbMATH DE number 894738
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A spectral algorithm for pricing interest rate options |
scientific article; zbMATH DE number 894738 |
Statements
A spectral algorithm for pricing interest rate options (English)
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30 September 1996
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spectral algorithm
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numerical evaluation of contingent claims
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discrete Markov chain
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