A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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More about this item
KeywordsShort-rate models; Analytical tractability; Exponential Vasicek model; Cox-Ingersoll-Ross' model; Calibration to market data;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
ListsThis item is featured on the following reading lists or Wikipedia pages:
- Cox–Ingersoll–Ross model in Wikipedia English ne '')
- مدل کاکس-اینگرسول-راس in Wikipedia Persian ne '')
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