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;
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- 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.
- 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.
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