Closed-form Arrow-Debreu pricing for the Hull-White short rate model
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Publication:5120737
DOI10.1080/14697688.2019.1636125zbMath1441.91078OpenAlexW2962889120MaRDI QIDQ5120737
Publication date: 16 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1636125
Green's functionclosed-form solutionperturbation expansionpricing kernelArrow-DebreuHull-Whiteshort rate model
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