A spectral algorithm for pricing interest rate options

DOI10.1007/BF00115689zbMath0846.90013MaRDI QIDQ1915790

Alexander Eydeland

Publication date: 30 September 1996

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

spectral algorithmdiscrete Markov chainnumerical evaluation of contingent claims

Mathematics Subject Classification ID

Related Items (1)

Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing the Quality Option In Treasury Bond Futures¹
• Option pricing: A simplified approach

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