๐”– Bobbio Scriptorium
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A Variable Reduction Technique for Pricing Average-rate Options

โœ Scribed by Hua He; Akihiko Takahashi


Book ID
108565421
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
135 KB
Volume
1
Category
Article
ISSN
1369-412X

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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