Valuing early-exercise interest-rate options with multi-factor affine models (Q2862511)
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scientific article; zbMATH DE number 6227541
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuing early-exercise interest-rate options with multi-factor affine models |
scientific article; zbMATH DE number 6227541 |
Statements
15 November 2013
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interest-rate derivatives
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affine models
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Fourier space-time stepping
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accrual swaps
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range notes
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Valuing early-exercise interest-rate options with multi-factor affine models (English)
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