Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
B. J.Christensen and R. Poulsen
| Year of publication: |
May 2001 ; [Elektronische Resource]
|
|---|---|
| Other Persons: | Christensen, Bent Jesper (contributor) ; Poulsen, Rolf (contributor) |
| Institutions: | Centre for Analytical Finance <Århus> (contributor) |
| Publisher: |
Aarhus : Centre for Analytical Finance, Univ. of Aarhus, Aarhus School of Business |
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Zins | Interest rate | Zinsstruktur | Yield curve | Schätzung | Estimation | Elastizität | Elasticity |
| Extent: | Online-Ressource, 19 p., text ill |
|---|---|
| Series: | Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business. - Aarhus, ZDB-ID 2678180-3. - Vol. 86 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | nBibliography Sytemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001587483