Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
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Publication:903027
DOI10.1016/J.AMC.2014.11.071zbMath1328.91284OpenAlexW2032244828MaRDI QIDQ903027
Publication date: 4 January 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2241/104447
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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