Valuation of cash flows under random rates of interest: a linear algebraic approach

DOI10.1016/j.insmatheco.2006.10.001zbMath1119.91043OpenAlexW2124852072MaRDI QIDQ997086

P. Date, Rogemar S. Mamon, I-Chieh Wang

Publication date: 19 July 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.001

zbMATH Keywords

linear systemsstochastic interest rate modelsuniformly convergent approximation

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (2)

A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ Pricing and risk management of interest rate swaps

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