Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (Q375469)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach |
scientific article; zbMATH DE number 6221283
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach |
scientific article; zbMATH DE number 6221283 |
Statements
Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach (English)
0 references
30 October 2013
0 references
exponential-affine models
0 references
stochastic volatility
0 references
Arrow-Debreu prices
0 references
bonds
0 references
interest rate futures
0 references
European path-independent interest rate options
0 references
