A discrete Itô calculus approach to He’s framework for multi-factor discrete markets
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 12 (2005)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Discrete Itô formula; Finite difference scheme; Discrete-time multi-asset market; Primary 91B28; Secondary 60G50; 65C20; 60F99;
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- Jir\^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006.
"Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor,"
- Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer, vol. 13(2), pages 151-179, June.
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