Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
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Publication:852278
DOI10.1007/s10986-005-0027-2zbMath1201.91208MaRDI QIDQ852278
Remigijus Leipus, E. Artamonova
Publication date: 28 November 2006
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-005-0027-2
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
Cites Work