Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model
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Publication:601887
DOI10.1007/s11424-010-6042-3zbMath1197.91191MaRDI QIDQ601887
Ping Li, Peng Shi, Xiaojun Shi, Guangdong Huang
Publication date: 29 October 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-6042-3
60G48: Generalizations of martingales
60G44: Martingales with continuous parameter
91G30: Interest rates, asset pricing, etc. (stochastic models)
Cites Work