haku: @journal_id 62 / yhteensä: 680
viite: 147 / 680
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. |
SCIMA