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Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models.

Lourdes Gómez-ValleJulia Martínez-Rodríguez
Published in: J. Comput. Appl. Math. (2016)
Keyphrases
  • risk neutral
  • probabilistic model
  • dynamic programming
  • sufficient conditions
  • sensitivity analysis
  • influence diagrams