A lattice approach to evaluate participating policies in a stochastic interest rate framework
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Publication:2222157
DOI10.1016/J.CAM.2020.113212zbMath1460.91217OpenAlexW3090833073MaRDI QIDQ2222157
Emilio Russo, Alessandro Staino, Massimo Costabile, Ivar Massabò
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113212
discrete-time modelstochastic interest ratessurrender optionparticipating policiesbinomial algorithm
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Cites Work
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