A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds
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Publication:2309261
DOI10.1016/j.cam.2020.112796zbMath1435.91189OpenAlexW3007907844MaRDI QIDQ2309261
Publication date: 30 March 2020
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.2020.112796
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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