Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure
Ren-Raw Chen ; Louis Scott
| Year of publication: |
1992
|
|---|---|
| Authors: | Chen, Ren-Raw |
| Other Persons: | Scott, Louis O. (contributor) |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 5.1992, 4, p. 613-636
|
| Subject: | Zinsderivat | Interest rate derivative | CAPM | Zinsstruktur | Yield curve | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001137840