Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
| Year of publication: |
2002-07-01
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| Authors: | Chiarella, Carl ; Musti, Silvana |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Heath-Jarrow-Morton model | term structure of interest rates | bond price | option price |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 84 |
| Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10005537692