Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 84.
Date of creation: 01 Jul 2002
Date of revision:
Heath-Jarrow-Morton model; term structure of interest rates; bond price; option price;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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