A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility
Year of publication: |
1999
|
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Authors: | Heston, Steven L. ; Nandi, Saikat |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Bonds | Options (Finance) | Interest rates | Derivative securities |
Series: | Working Paper ; 99-20 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/100806 [Handle] RePEc:fip:fedawp:99-20 [RePEc] |
Source: |
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Heston, Steven L., (1999)
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Interest rate models : an introduction
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