A multi-factor Markovian HJM model for pricing American interest rate derivatives
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 31 (2008)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Monte Carlo simulation; Lattice; Recombining tree; American derivatives; Markovian HJM framework; Multi-state variable multi-factor model; Interest rate options; Computational efficiency; G13;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72.
- I.-Doun Kuo, 2011. "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 83-104, January.
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