A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models
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- Massimo Costabile & Ivar Massabó & Emilio Russo, 2011. "A binomial approximation for two-state Markovian HJM models," Review of Derivatives Research, Springer, vol. 14(1), pages 37-65, April.
- 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.
- Marat Kramin & Saikat Nandi & Alexander Shulman, 2008. "A multi-factor Markovian HJM model for pricing American interest rate derivatives," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 359-378, November.
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Keywordsinduction; multi-state-variable Markov process; trinomial lattice; derivatives valuation;
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