A result in the Ho and Lee's model

MaRDI QIDQ3569658zbMATH OpenFDO

Authors Paolo Sentinelli

Publication date 21 June 2010

Full work available at URL http://www.m-hikari.com/ams/ams-2010/ams-1-4-2010/index.html

zbMATH Keywords

limitrisk premiumforward ratefuture rateHo and Lee's model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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