Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (Q601887): Difference between revisions
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Property / full work available at URL: https://doi.org/10.1007/s11424-010-6042-3 / rank | |||
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Property / cites work: On the martingale framework for futures prices. / rank | |||
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Latest revision as of 10:16, 3 July 2024
scientific article
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English | Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model |
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Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (English)
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29 October 2010
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Cox-Ingersoll-Ross model
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futures pricing
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LIBOR futures
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martingale
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