Two extensions for fitting discrete time term structure models with normally distributed factors (Q4676166)
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scientific article; zbMATH DE number 2164317
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| English | Two extensions for fitting discrete time term structure models with normally distributed factors |
scientific article; zbMATH DE number 2164317 |
Statements
Two extensions for fitting discrete time term structure models with normally distributed factors (English)
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3 May 2005
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Ho-Lee model
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Heath-Jarrow-Morton model
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0.7915056943893433
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0.782576858997345
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0.7755504250526428
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0.7731649875640869
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