A model of discontinuous interest rate behavior, yield curves, and volatility
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 10 (2007)
Issue (Month): 3 (December)
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Web page: http://www.springerlink.com/link.asp?id=102989
Interest rates; Yield curve; Levy process;
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- Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
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