This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...

This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset price. This procedure is referred to as the...

This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset price. This procedure is referred to as the...