A Generalized Procedure for Building Trees for the Short Rate
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Publisher
Elsevier BV
Reference16 articles.
1. Parabolic equations
2. Pricing American Interest Rate Options Under the Jump Extended Constant-Elasticity-of-Variance Short Rate Models;Natalia Beliaeva;Journal of Banking and Finance,2012
3. A One-Factor Model of Interest Rates and its Application to Treasury Bond Prices;Black;Financial Analysts Journal,1990
4. Bond and Option Pricing When Short Rates are Lognormal;Fischer Black;Financial Analysts Journal,1991
5. The Nature of the Dependence of the Magnitude of Rate Moves on the Level of Rates: A Universal Relationship;Nick Deguillaume;Quantitative Finance,2013
Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Modeling the Short Rate: The Real and Risk-Neutral Worlds;SSRN Electronic Journal;2014
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