Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (Q601887): Difference between revisions

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+https://doi.org/10.1007/s11424-010-6042-3
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+W1993142664
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+Q4794153
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+Q4368791
@@ Property / cites work: Q4368791 / rank @@
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+On the martingale framework for futures prices.
@@ Property / cites work: On the martingale framework for futures prices. / rank @@
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@@ Property / cites work @@
+A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
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+Bond, futures and option evaluation in the quadratic interest rate model
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+Q3160494
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+Publication:601887