Author:
Huang Jia-Ping,Sumita Ushio
Subject
Applied Mathematics,Computational Mathematics
Reference39 articles.
1. Valuing derivative securities using the explicit finite differential method;Hull;J. Financ. Quant. Anal.,1990
2. A new approach for computing option prices of the hull-white type with stepwise reversion and volatility functions;Jin;J. Derivatives,2007
3. Numerical exploration of dynamic behavior of Ornstein–Uhlenbeck processes via ehrenfest process approximation;Sumita;J. Oper. Res. Soc. Japan,2006
4. An equilibrium characterization of the term structure;Vasicek;J. Financ. Econ.,1977
5. Markov chain models: rarity and exponentiality;Keilson,1979