Asymmetric short-rate model without lower bound-Reference-Cited by-同舟云学术

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Asymmetric short-rate model without lower bound

Published:2022-12-21 Issue:2 Volume:23 Page:279-295
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Vrins Frédéric¹²^ORCID,Wang Linqi³^ORCID

Affiliation:

1. LFIN/LIDAM, UCLouvain, Voie du Roman Pays 34, Louvain-la-Neuve B-1348, Belgium

2. Department of Decision Science, HEC Montréal, Montréal, QC H3T 2A7, Canada

3. Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD, UK

Funder

Belgian Federal Science Policy Office

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2156384

Reference27 articles.

1. Whatever It Takes: The Real Effects of Unconventional Monetary Policy

2. Nonparametric option pricing under shape restrictions

3. Divergence measures for statistical data processing—An annotated bibliography

4. Interest Rate Skewness and Biased Beliefs

5. Prices of State-Contingent Claims Implicit in Option Prices

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