Bond pricing when the short-term interest rate follows a threshold process
Year of publication: |
2008
|
---|---|
Authors: | Lemke, Wolfgang ; Archontakis, Theofanis |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 8.2008, 8, p. 811-822
|
Publisher: |
Taylor & Francis Journals |
Subject: | Bond pricing | Term structure of interest rates | Threshold models |
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