Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (Q375469)
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scientific article; zbMATH DE number 6221283
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| English | Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach |
scientific article; zbMATH DE number 6221283 |
Statements
Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (English)
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30 October 2013
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exponential-affine models
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stochastic volatility
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Arrow-Debreu prices
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bonds
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interest rate futures
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European path-independent interest rate options
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0.7930365800857544
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0.7680426239967346
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0.7652149200439453
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0.7615185379981995
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0.7538753151893616
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