Polynomial algorithms for pricing path-dependent interest rate instruments
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Publication:862839
DOI10.1007/s10614-006-9049-zzbMath1153.91508OpenAlexW1984707188WikidataQ59255081 ScholiaQ59255081MaRDI QIDQ862839
Ronald Hochreiter, Georg Ch. Pflug
Publication date: 24 January 2007
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-006-9049-z
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Cites Work
- LIBOR and swap market models and measures
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- An equilibrium characterization of the term structure
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Pricing Interest-Rate-Derivative Securities
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