An Overview of the Vasicek Short Rate Model
Author:
Publisher
Elsevier BV
Reference4 articles.
1. Pricing Interest Rate Derivative Securities;J Hull;Review of Financial Studies,1990
2. One-Factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities;J Hull;Journal of Finance and Quantitative Analysis,1993
3. An Exact Bond Option Formula;F Jamshidian;Journal of Finance,1989
4. An Equilibrium Characterization of the Termstructure;O Vasicek;Journal of Financial Economics,1977
Cited by 3 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. Analyzing Short-Rate Models for Efficient Bond Option Pricing: A Review;Operations Research Forum;2024-08-17
2. Bond Option Pricing using the Vasicek Short Rate Model;SSRN Electronic Journal;2014
3. Martingale Measures & Change of Measure Explained;SSRN Electronic Journal;2014
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