An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011)
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scientific article; zbMATH DE number 5843688
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An artificial boundary method for the Hull-White model of American interest rate derivatives |
scientific article; zbMATH DE number 5843688 |
Statements
An artificial boundary method for the Hull-White model of American interest rate derivatives (English)
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2 February 2011
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artificial boundary
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early exercise feature
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finite difference method
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Hull-White model
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interest rate derivatives
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singularity-separating
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0.8906964
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0.8792935
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0.8573123
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0.8502209
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0.84719265
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0.84686375
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0.84667575
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0.84582126
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0.84581137
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