On the Quasi Gaussian Interest Rate Models
AbstractIn this paper some remarks on the interest rate model proposed by Jamishidian (1991) and Ritchken and Sankarasubramanian (1995b) are presented. Copyright Kluwer Academic Publishers 1999
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 6 (1999)
Issue (Month): 1 (January)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
interest rate models; quasi Gaussian;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Li, Anlong & Ritchken, Peter & Sankarasubramanian, L, 1995. " Lattice Models for Pricing American Interest Rate Claims," Journal of Finance, American Finance Association, vol. 50(2), pages 719-37, June.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
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