A simple trinomial lattice approach for the skew-extended CIR models
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Publication:1687377
DOI10.1007/s11579-017-0192-1zbMath1411.91586OpenAlexW2732014901MaRDI QIDQ1687377
Haoyan Zhang, Guangli Xu, Xiaoyang Zhuo
Publication date: 29 December 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0192-1
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT ⋮ Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
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