Volatility of the short rate in the rational lognormal model
Year of publication: |
1998-02-12
|
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Authors: | Goldberg, Lisa R. |
Published in: |
Finance and Stochastics. - Springer. - Vol. 2.1998, 2, p. 199-211
|
Publisher: |
Springer |
Subject: | Interest rate model | volatility | option value |
Extent: | application/pdf application/postscript |
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Type of publication: | Article |
Notes: | received: January 1997; final version received: June 1997 |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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