Algorithms for pricing path dependent contracts
نویسندگان
چکیده
In this paper we study algorithms for pricing of financial contracts using a lattice process of interest rates. If the cash-flows generated by the contract depend on the history of the interest rates (path dependent contracts), then the pricing algorithms are typically of exponential complexity. We demonstrate that for some models, there exist polynomial algorithms for path dependent contracts. These models include product form cash-flows, additive cash-flows, delayed cash-flows and limited path dependent cash-flows.
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Polynomial algorithms for pricing path dependent interest rate instruments
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