Eurodollar futures pricing in log-normal interest rate models in discrete time
Dan Pirjol
| Year of publication: |
December 2016
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|---|---|
| Authors: | Pirjol, Dan |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 445-464
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| Subject: | Interest rate models | Eurodollar futures | Libor market model | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Derivat | Derivative | Euromarkt | Euromarkets | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1297727 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704268