On the construction and complexity of the bivariate lattice with stochastic interest rate models

DOI10.1016/j.camwa.2010.12.061zbMath1217.91190OpenAlexW2047380170MaRDI QIDQ552270

Yuh-Dauh Lyuu, Chuan-Ju Wang

Publication date: 21 July 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.12.061

zbMATH Keywords

latticecomplexitystochastic interest rate model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• A Theory of the Term Structure of Interest Rates
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Calibrating the Black-Derman-Toy model: some theoretical results
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Option pricing: A simplified approach
• On accurate and provably efficient GARCH option pricing algorithms
• Unnamed Item

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