Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (Q601887)
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scientific article; zbMATH DE number 5808600
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| English | Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model |
scientific article; zbMATH DE number 5808600 |
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Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (English)
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29 October 2010
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Cox-Ingersoll-Ross model
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futures pricing
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LIBOR futures
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martingale
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0.8639226
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0.8559964
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0.8552252
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0.8528313
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0.8510597
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0.85014653
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0.8500609
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0.8496886
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0.8491168
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0.8487017
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