A mean reverting process for pricing treasury bills and futures contracts (Q4299530)
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scientific article; zbMATH DE number 600194
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| default for all languages | No label defined |
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| English | A mean reverting process for pricing treasury bills and futures contracts |
scientific article; zbMATH DE number 600194 |
Statements
A mean reverting process for pricing treasury bills and futures contracts (English)
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4 July 1994
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discrete-time single-factor model
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multiplicative binomial forward process
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mean reversion
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