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Home        Knowledge Base        Equity Derivatives and Structured Products Glossary        Longstaff-Schwartz model

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Longstaff-Schwartz model

Search definitions        Search   Longstaff-Schwartz model A Two-factor model of the term structure of Interest rates. It produces a Closed-form solution for the price of zero Coupon bonds and a quasi-Closed-form solution for options on zero Coupon bonds. The model is developed in a Cox-Ingersoll-Ross framework with Short Interest rates and their Volatility as the two sources of uncertainty in the equation. Posted by  Privatebanking.com     Back     Print     Email

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