Asymmetric short-rate model without lower bound
Frédéric Vrins and Linqi Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Vrins, Frédéric ; Wang, Linqi |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 2, p. 279-295
|
| Subject: | Affine short-rate model | Implied density calibration | Jensen-Shannon divergence | Negative interest rates |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2156384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232631