Tian, 1994 - Google Patents

A reexamination of lattice procedures for interest rate-contingent claims

Tian, 1994

Document ID: 6234727867499018483
Author: Tian Y
Publication year: 1994
Publication venue: Advances in Futures and Options Research

External Links

Cited by

Snippet

This paper develops a general framework for the construction of simple (or path- independent) multinomial lattice approximations to single-state variable diffusion processes. It reexamines, within this general framework, three simple lattice procedures for the pricing …

Continue reading at papers.ssrn.com (other versions)

238000000034 method 0 title abstract description 19

Classifications

- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06F—ELECTRICAL DIGITAL DATA PROCESSING
- G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
- G06F17/20—Handling natural language data
- G06F17/21—Text processing
- G06F17/24—Editing, e.g. insert/delete
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/10—Office automation, e.g. computer aided management of electronic mail or groupware; Time management, e.g. calendars, reminders, meetings or time accounting
- G06Q10/109—Time management, e.g. calendars, reminders, meetings, time accounting
- G—PHYSICS
- G06—COMPUTING; CALCULATING; COUNTING
- G06F—ELECTRICAL DIGITAL DATA PROCESSING
- G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
- G06F17/30—Information retrieval; Database structures therefor; File system structures therefor
- G06F17/30861—Retrieval from the Internet, e.g. browsers

Similar Documents

Publication	Publication Date	Title
Tian	1994	A reexamination of lattice procedures for interest rate-contingent claims
Russ et al.	2004	The Altman z-score revisited
Amin	1998	Option pricing trees
Kiel et al.	1997	The Impact of Neighborhood Characteristics on House Prices: What Geographic Area Constitutes a Neighboorhood?
Friedland	2002	Police powers in Bill C-36
Theodossiou et al.	2001	Predicting Corporate Financial Distress: A Time-Series CUSUM
Connelly et al.	2004	Ownership concentration and initial public offering performance: empirical evidence from Thailand
Wiener et al.	1998	Gradual bargaining
Snider et al.	1994	CEO pay and firm performance in Japan
Jin	1994	Consumption, income and liquidity constraints: Evidence for nineteen countries
Aase	1998	An equilibrium model of catastrophe insurance futures contracts
Nunes	1997	Interest rate options in a Duffie-Kan model with deterministic volatility
Fehle	1999	Market Structure and Swap Spreads: International Evidence
Coles et al.	1994	Generalized Qualitative Response Models and the Prediction of Bankruptcy
Tantan et al.	2000	Efficiency in the Turkish life insurance industry (using DEA approach)
Uhrig-Homburg	1996	An empirical examination of the Longstaff-Schwartz bond option valuation model
Canals-Cerda et al.	2001	Empirical Search Models
Schachter et al.	1996	Improving value-at-risk estimates by combining kernel estimation with historical simulation
Theocarakis	2006	Review of Richard van den Berg (ed.), At the Origins of Mathematical Economics: The Economics of AN Isnard (1748-1803)
Wei	1996	Cross-Currency Bond Option Pricing
Ho et al.	1996	A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates
Jeffrey	1994	Construction of a Single Factor Heath-Jarrow-Morton Term Structure Model
Shephard et al.	2001	Integrated Ou Processes
Barkoulas et al.	1996	Essential Nonparametric Prediction of US Interest Rates
Chamadia	2003	PCA of Covariance Matrix of Historical Forward Rate Changes