A simple class of square-root interest-rate models
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Publication:4994398
DOI10.1080/13504869500000004zbMath1466.91357MaRDI QIDQ4994398
Publication date: 18 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869500000004
Riccati equation; chi-squared distribution; yield curve; square-root process; bond option; volatility curve
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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