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A discrete-time algorithm for pricing double barrier options

✍ Scribed by Massimo Costabile


Book ID
106295895
Publisher
Springer Milan
Year
2001
Tongue
English
Weight
61 KB
Volume
24
Category
Article
ISSN
1593-8883

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A spectral algorithm for pricing interes
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The paper describes a general spectral algorithm for numerical evaluation of contingent claims dependent on the term structure of interest rates. The evolution of the interest rates is modeled as a discrete Markov chain in a functional space. The functional basis in the state space and the transitio