Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach
Jo~ao Pedro Vidal Nunes; Les Clewlow; Stewart Hodges
| Year of publication: |
1999
|
|---|---|
| Authors: | Nunes, Jo~ao Pedro Vidal ; Clewlow, Les ; Hodges, Stewart D. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 3.1999, 1, p. 5-66
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| Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Review of derivatives research |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001445808