An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
| Year of publication: |
2003-08-01
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| Authors: | Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Term Structure Models | Jump-Diffusions | Derivative Pricing |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 201 |
| Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G33 - Bankruptcy; Liquidation ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005345678