A binomial approximation for two-state Markovian HJM models

DOI10.1007/S11147-010-9053-2zbMath1213.91159OpenAlexW2128194747MaRDI QIDQ539146

Emilio Russo, Massimo Costabile, Ivar Massabò

Publication date: 27 May 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9053-2

zbMATH Keywords

contingent claimsdiscrete-time modelsinterest rate optionsbinomial algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A copula-based approach for generating lattices

Cites Work

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• A refined binomial lattice for pricing American Asian options
• Convergence of numerical methods for valuing path-dependent options using interpolation
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• WHEN IS THE SHORT RATE MARKOVIAN?
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options

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