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

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Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model
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    Statements

    title
    Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (English)
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    author
    Ping Li
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    Peng Shi
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    Guangdong Huang
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    Xiaojun Shi
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    publication date
    29 October 2010
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G44
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    60G48
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    zbMATH DE Number
    5808600
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    OpenAlex ID
    W1993142664
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