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- W2373233738 abstract "The interest rates under the double exponential jump-diffusion are studied using trigeminal tree model.The transform method of NR(1990) is extended.The diffusion probabilities is gotten based on the trigeminal method and the results of Beliaeva(2011) are extended.Numerical results show that the value of the option under the stochastic interest rate is lower than that under the often rate and if the volatility of interest rate is bigger,the influence on the option value is greater." @default.
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- W2373233738 date "2012-01-01" @default.
- W2373233738 modified "2023-09-22" @default.
- W2373233738 title "The Trigeminal Tree Model of Interest Rates Based on Double Exponential Jump-Diffusion" @default.
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