Bond prices under information asymmetry and a short rate with instantaneous feedback
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Publication:2152233
DOI10.1007/s11009-021-09922-1zbMath1489.91256OpenAlexW4210936010MaRDI QIDQ2152233
Kiseop Lee, Prakash Chakraborty
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-021-09922-1
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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