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Search: subject:"Interest Rate Claims"
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GARCH Processes
1
Interest Rate Claims
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Option Pricing
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interest rate claims
1
volatility humps
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Chuang, Iyuan
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Cvsa, V.
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Ritchken, P.
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Ritchken, Peter
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Management Science
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Review of Derivatives Research
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Pricing Claims Under GARCH-Level Dependent Interest Rate Processes
Cvsa, V.
;
Ritchken, P.
- In:
Management Science
47
(
2001
)
12
,
pp. 1693-1711
are provided that permit the efficient pricing of American-style
interest
rate
claims
under a rather broad array of GARCH …
Persistent link: https://www.econbiz.de/10009204233
Saved in:
2
Interest rate option pricing with volatility humps
Ritchken, Peter
;
Chuang, Iyuan
- In:
Review of Derivatives Research
3
(
2000
)
3
,
pp. 237-262
. The
interest
rate
claims
are priced in the Heath-Jarrow-Morton paradigm, and hence incorporate full information on the …
Persistent link: https://www.econbiz.de/10005709833
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