VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS
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Publication:2862511
DOI10.1142/S0219024913500349zbMath1295.91088OpenAlexW3124989062MaRDI QIDQ2862511
Sebastian Jaimungal, Vladimir Surkov
Publication date: 15 November 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500349
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
FFT network for interest rate derivatives with Lévy processes ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Cites Work
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