Polynomial algorithms for pricing path-dependent interest rate instruments

Ronald Hochreiter; Georg Ch Pflug

doi:10.1007/s10614-006-9049-z

Polynomial algorithms for pricing path-dependent interest rate instruments

Ronald Hochreiter
, Georg Ch Pflug

University of Vienna

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	291-309
Number of pages	19
Journal	Computational Economics
Volume	28
Issue number	3
DOIs	https://doi.org/10.1007/s10614-006-9049-z
Publication status	Published - Oct 2006
Externally published	Yes

Keywords

Interest rate models
Path-dependent financial instruments
Pricing
Recombining trees

Access to Document

10.1007/s10614-006-9049-z

Cite this

@article{d4234e467c394b9981af9a413772792f,

title = "Polynomial algorithms for pricing path-dependent interest rate instruments",

keywords = "Interest rate models, Path-dependent financial instruments, Pricing, Recombining trees",

author = "Ronald Hochreiter and Pflug, \{Georg Ch\}",

year = "2006",

month = oct,

doi = "10.1007/s10614-006-9049-z",

language = "English",

volume = "28",

pages = "291--309",

journal = "Computational Economics",

issn = "0927-7099",

publisher = "Springer Netherlands",

number = "3",

}

TY - JOUR

T1 - Polynomial algorithms for pricing path-dependent interest rate instruments

AU - Hochreiter, Ronald

AU - Pflug, Georg Ch

PY - 2006/10

Y1 - 2006/10

KW - Interest rate models

KW - Path-dependent financial instruments

KW - Pricing

KW - Recombining trees

UR - https://www.scopus.com/pages/publications/33750853861

U2 - 10.1007/s10614-006-9049-z

DO - 10.1007/s10614-006-9049-z

M3 - Article

AN - SCOPUS:33750853861

SN - 0927-7099

VL - 28

SP - 291

EP - 309

JO - Computational Economics

JF - Computational Economics

IS - 3

ER -

Polynomial algorithms for pricing path-dependent interest rate instruments

Keywords

Access to Document

Other files and links

Fingerprint

Cite this