AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING

DOI10.1142/S0219024905002949zbMath1100.91050MaRDI QIDQ4675930

Caio Ibsen Rodrigues de Almeida

Publication date: 6 May 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

consistent term structure modelsLegendre polynomials, derivatives pricingMultifactor affine processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Option pricing with Legendre polynomials

Cites Work

• Unnamed Item
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• A general characterization of one factor affine term structure models

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