Asymptotics Of Bond Yields And Volatilities For Extended Vasicek Models Under The Real-World Measure
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DOI: 10.1142/S2010495217500051
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- Kladívko, Kamil & Rusý, Tomáš, 2023. "Maximum likelihood estimation of the Hull–White model," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 227-247.
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Keywords
Actuarial pricing; stochastic short rate; Gaussian short rate; Vasicek model; Hull-White model;All these keywords.
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