MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL
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Publication:3523579
DOI10.1142/S0219024901001048zbMath1153.91578OpenAlexW2141565700MaRDI QIDQ3523579
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901001048
differential equationgeneralized BGM theoryinterest rate option pricinglognormal LIBOR modelstability of the stochasticterm structure of volatility
Cites Work
- Continuous-time term structure models: Forward measure approach
- LIBOR and swap market models and measures
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- The Market Model of Interest Rate Dynamics
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