Analytic Backward Induction Of Option Cash Flows: A New Application Paradigm For The Markovian Interest Rate Models
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DOI: 10.1142/S0219024905003384
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- Junwu Gan, 2014. "An almost Markovian LIBOR market model calibrated to caps and swaptions," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1937-1959, November.
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Keywords
Markovian interest rate model; American option; early exercise premium; analytic backward induction; critical boundary;All these keywords.
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