Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

DOI10.1111/j.0960-1627.2004.00181.xzbMath1097.91041MaRDI QIDQ4464013

Vadim Linetsky, Viatcheslav Gorovoi

Publication date: 27 May 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00181.x

Mathematics Subject Classification ID

60J60: Diffusion processes

34L10: Eigenfunctions, eigenfunction expansions, completeness of eigenfunctions of ordinary differential operators

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