A square root interest rate model fitting discrete initial term structure data
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Publication:4541596
DOI10.1080/13504860110034770zbMath1034.91034MaRDI QIDQ4541596
Publication date: 5 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860110034770
91B26: Auctions, bargaining, bidding and selling, and other market models
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Cites Work
- The Pricing of Options and Corporate Liabilities
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Pricing Interest-Rate-Derivative Securities