haku: @author Morton, A. / yhteensä: 1
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| Tekijä: | Heath, D. Morton, A. Jarrow, R. |
| Otsikko: | Bond pricing and the term structure of interest rates: a discrete time approximation. |
| Lehti: | Journal of Financial and Quantitative Analysis
1990 : DEC, VOL. 25:4, p. 419-440 |
| Asiasana: | INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | Study of binomial approximation to the continuous trading term structure model of Heath, Jarrow and Morton and three contributions to the literature. Terminology. Notation. Term structure movements. Arbitrage-free pricing and term structure movements. One random shock forward rate process. Constant and exponentially decaying model. Limit economies. Contingent claim valuation. |
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