A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model
Year of publication: |
1994
|
---|---|
Authors: | Clewlow, Les ; Strickland, Chris |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 3.1994, 4, p. 95-100
|
Saved in:
Saved in favorites
Similar items by person
-
Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models
Clewlow, Les, (1998)
-
A Multi-Factor Model for Energy Derivatives
Clewlow, Les, (1999)
-
Valuing Energy Options in a One Factor Model Fitted to Forward Prices
Clewlow, Les, (1999)
- More ...