A Unified Willow Tree Framework for One-Factor Short-Rate Models

Guangguang Wang and Wei Xu
The Journal of Derivatives Spring 2018, 25 (3) 33-54; DOI: https://doi.org/10.3905/jod.2018.1.064

Article Information

vol. 25 no. 3 33-54
DOI 
https://doi.org/10.3905/jod.2018.1.064
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online February 26, 2018.

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© 2018 Pageant Media Ltd

Author Information

  1. Guangguang Wang
    1. is a PhD student in the School of Mathematical Sciences at Tongji University in Shanghai, China. (1410547{at}tongji.edu.cn)
  2. Wei Xu
    1. is an associate professor in the School of Mathematical Sciences at Tongji University in Shanghai, China. (wdxu{at}tongji.edu.cn)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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A Unified Willow Tree Framework for One-Factor Short-Rate Models
Guangguang Wang, Wei Xu
The Journal of Derivatives Feb 2018, 25 (3) 33-54; DOI: 10.3905/jod.2018.1.064
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