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~person:"Christopeit, Norbert"
~person:"Foellmer, Hans"
~person:"Miltersen, Kristian R."
~subject:"Interest rate derivative"
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.
;
Sandmann, Klaus
;
Sondermann, Dieter
-
1995
Persistent link: https://www.econbiz.de/10000908299
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.
- In:
The journal of finance : the journal of the American …
52
(
1997
)
1
,
pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
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3
Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
Sandmann, Klaus
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1994
Persistent link: https://www.econbiz.de/10013276400
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