Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (Q4216119)
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scientific article; zbMATH DE number 1213271
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach |
scientific article; zbMATH DE number 1213271 |
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Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach (English)
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28 December 1998
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time-domain approach
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closed-form solutions
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interest-rate contingent assets
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two-factor arbitrage-free Gaussian term structure
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