Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields.
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- Review of Derivatives Research, 2003, v. 6, n. 2, p. 129, doi. 10.1023/A:1027325227773
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Works matching IS 13806645 AND DT 2003 AND VI 6 AND IP 2
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2
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives.
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- Review of Derivatives Research, 2003, v. 6, n. 2, p. 107, doi. 10.1023/A:1027340210935
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3
Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks.
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- Review of Derivatives Research, 2003, v. 6, n. 2, p. 83, doi. 10.1023/A:1027377228682
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- Article