“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
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Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu, 2010. "Asymptotics of the probability minimizing a "down-side" risk," Papers 1001.2131, arXiv.org.
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