ON THE FOUR-PARAMETER BOND PRICING MODEL
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Publication:2959628
yield curvestochastic differential equationgeneral solutionCox-Ingersoll-Ross modelVasicek modelbond pricing equationfour-parameter random walk modelshort term rate of interest
Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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