MODELLING OF DYNAMICAL INTEREST RATES USING BINOMIAL AND TRINOMIAL TREES

DOI10.17654/MS099060909zbMath1345.91079OpenAlexW2519681085MaRDI QIDQ2820429

Udjianna S. Pasaribu, D. Permana, Adhitya Ronnie Effendie, Suprayogi Suprayogi, Sapto W. Indratno

Publication date: 16 September 2016

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9666.htm

zbMATH Keywords

modellinginterest ratebinomial treetrinomial treefitting and prediction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

This page was built for publication: MODELLING OF DYNAMICAL INTEREST RATES USING BINOMIAL AND TRINOMIAL TREES