Yield option pricing in the generalized Cox-Ingersoll-Ross Model
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Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository
Date of creation:
1999Date of revision:
Published in: Finance (1999) v.20 nÂ° 2,p.169-183Handle:
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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,"
Econometric Society, vol. 60(1), pages 77-105, January.
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