An Efficient Lattice Algorithm For The Libor Market Model
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Abstract
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DOI: 10.31219/osf.io/dxvnw
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Other versions of this item:
- Xiao, Tim, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 25-40.
- Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," arabixiv.org fvtxd, Center for Open Science.
- Tim Xiao, 2011. "An Efficient Lattice Algorithm for the LIBOR Market Model," Post-Print hal-02024141, HAL.
- Xiao, Tim, 2015. "An Efficient Lattice Algorithm For The Libor Market Model," SocArXiv qmh9c, Center for Open Science.
- Tim, Xiao, 2011. "An efficient lattice algorithm for the libor market model," MPRA Paper 32972, University Library of Munich, Germany.
References listed on IDEAS
- Martzoukos, Spiros H. & Trigeorgis, Lenos, 2002. "Real (investment) options with multiple sources of rare events," European Journal of Operational Research, Elsevier, vol. 136(3), pages 696-706, February.
Citations
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Cited by:
- Xiao, Tim, 2017.
"A New Model for Pricing Collateralized OTC Derivatives,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(4), pages 8-20.
- Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," arabixiv.org b9vg8, Center for Open Science.
- Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," FrenXiv am8zy, Center for Open Science.
- Xiao, Tim, 2017. "A New Model for Pricing Collateralized OTC Derivatives," SocArXiv dh9mr, Center for Open Science.
- Lago, Jesus & De Ridder, Fjo & Vrancx, Peter & De Schutter, Bart, 2018. "Forecasting day-ahead electricity prices in Europe: The importance of considering market integration," Applied Energy, Elsevier, vol. 211(C), pages 890-903.
- Xiao, Tim, 2012.
"An Economic Examination of Collateralization in Different Financial Markets,"
MPRA Paper
47105, University Library of Munich, Germany.
- Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47371, University Library of Munich, Germany.
- Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," SocArXiv zw6xq, Center for Open Science.
- Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," arabixiv.org b7uvg, Center for Open Science.
- Xiao,Tim, 2019. "An Economic Examination of Collateralization in Different Financial Markets," EconStor Preprints 200503, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2018. "An Economic Examination of Collateralization in Different Financial Markets," FrenXiv j32fu, Center for Open Science.
- Tim Xiao, 2019. "An Economic Examination of Collateralization in Different Financial Markets," Working Papers hal-02024144, HAL.
- Xiao, Tim, 2013.
"The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling,"
MPRA Paper
47136, University Library of Munich, Germany.
- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," FrenXiv mt637, Center for Open Science.
- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," arabixiv.org 96dy5, Center for Open Science.
- Xiao,Tim, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," EconStor Preprints 201542, ZBW - Leibniz Information Centre for Economics.
- Xiao, Tim, 2017. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," SocArXiv u546r, Center for Open Science.
- Tim Xiao, 2019. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," Working Papers hal-02024145, HAL.
- Tim Xiao, 2017.
"A New Model for Pricing Collateralized Financial Derivatives,"
Post-Print
hal-01800559, HAL.
- Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv fvdzh, Center for Open Science.
- Tim Xiao, 2018. "A New Model for Pricing Collateralized Financial Derivatives," Papers 1805.11981, arXiv.org.
- Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
- Kian Guan Lim, 2021. "Bermudan option in Singapore Savings Bonds," Review of Derivatives Research, Springer, vol. 24(1), pages 31-54, April.
- Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
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More about this item
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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