Long-Term Returns in Stochastic Interest Rate Models: Applications

DOI10.2143/AST.30.1.504629zbMath1018.91029MaRDI QIDQ4407163

Griselda Deelstra

Publication date: 12 September 2003

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

interest rateCox-Ingersoll-Ross modelBessel-square processesreversion level

Mathematics Subject Classification ID

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