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Closed-form Arrow-Debreu pricing for the Hull-White short rate model - MaRDI portal

Closed-form Arrow-Debreu pricing for the Hull-White short rate model (Q5120737)

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scientific article; zbMATH DE number 7247993
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English
Closed-form Arrow-Debreu pricing for the Hull-White short rate model
scientific article; zbMATH DE number 7247993

    Statements

    title
    Closed-form Arrow-Debreu pricing for the Hull-White short rate model (English)
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    author
    Colin Turfus
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    publication date
    16 September 2020
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    zbMATH Keywords
    perturbation expansion
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    Hull-White
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    short rate model
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    closed-form solution
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    Arrow-Debreu
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    pricing kernel
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    Green's function
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    Identifiers

    zbMATH DE Number
    7247993
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    OpenAlex ID
    W2962889120
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