Analytic pricing solutions to term structure derivatives in a Markov chain market

DOI10.1093/IMAMAN/15.3.243zbMath1120.91313OpenAlexW1990397881MaRDI QIDQ4659865

Rogemar S. Mamon

Publication date: 21 March 2005

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/15.3.243

zbMATH Keywords

forward measureMarkov interest rate model

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

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