[PDF][PDF] Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates
M Jánoši, B Stehlíková - Mathematica Moravica, 2024 - journals.ftn.kg.ac.rs
We consider a convergence model of interest rates, in which the behaviour of the domestic
instantaneous interest rate (so called short rate) depends on the short rate in a monetary …
instantaneous interest rate (so called short rate) depends on the short rate in a monetary …
Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees
TP Davis - The Journal of Derivatives, 2021 - jod.pm-research.com
Despite their age, binomial and trinomial trees are still used extensively in the financial
industry to price securities with early exercise features such as American equity options and …
industry to price securities with early exercise features such as American equity options and …