A model of discontinuous interest rate behavior, yield curves, and volatility
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References listed on IDEAS
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- Ming Shann Tsai & Shu Ling Chiang, 2016. "The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 421-444, September.
More about this item
KeywordsInterest rates; Yield curve; Levy process;
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