An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model (Q2929374)
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scientific article; zbMATH DE number 6368710
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model |
scientific article; zbMATH DE number 6368710 |
Statements
12 November 2014
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stochastic processes
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Black-Karasinski
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derivative pricing
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power series expansions
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0.89416367
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0.8922608
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0.8921653
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0.8871832
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0.8833496
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0.8830389
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0.8753034
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An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model (English)
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