A tractable interest rate model with explicit monetary policy rates
Jean-Paul Renne (HEC Lausanne, University of Lausanne, Switzerland)
| Year of publication: |
2016
|
|---|---|
| Authors: | Renne, Jean-Paul |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 3 (16.6.), p. 873-887
|
| Subject: | Yield curve | Option pricing | Regime switching | Market expectations | Zinsstruktur | Geldpolitik | Monetary policy | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.12.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011449003