Efficient calibration of trinomial trees for one-factor short rate models

DOI10.1007/s11147-004-4810-8zbMath1097.91038OpenAlexW3124631790WikidataQ56482428 ScholiaQ56482428MaRDI QIDQ1774551

Markus Leippold, Zvi Wiener

Publication date: 17 May 2005

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/156562/1/ZORA_NL_156562.pdf

zbMATH Keywords

short rate modelstrinomial treesforward measure.

Mathematics Subject Classification ID

Cites Work

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