Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Year of publication: |
1994
|
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Authors: | Sandmann, Klaus ; Sondermann, Dieter ; Miltersen, Kristian |
Publisher: |
Bonn : Sonderforschungsbereich 303 |
Subject: | Optionspreistheorie | Option pricing theory | USA | United States | Derivat | Derivative | Zinsderivat | Interest rate derivative | Theorie | Theory | Zinsstruktur | Yield curve | CAPM |
Extent: | 20 S |
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Series: | Discussion paper / B. - Bonn : Univ. Sonderforschungsbereich 303, ZDB-ID 54757-8. - Vol. 285 |
Type of publication: | Book / Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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