A binomial approximation for two-state Markovian HJM models

Massimo Costabile (), Ivar Massabó and Emilio Russo

Review of Derivatives Research, 2011, vol. 14, issue 1, 37-65

Keywords: Interest rate options; Contingent claims; Binomial algorithms; Discrete-time models; C63; G12 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11147-010-9053-2

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