EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL
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Publication:2842536
DOI10.1142/S0219024913500234zbMath1271.91105arXiv1104.0322MaRDI QIDQ2842536
Publication date: 15 August 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.0322
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Eurodollar futures pricing in log-normal interest rate models in discrete time, Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model, Explosive Behavior in the Black–Derman–Toy Model
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