A mean reverting process for pricing treasury bills and futures contracts

DOI10.1002/ASM.3150090406zbMath0800.90104OpenAlexW2081765392MaRDI QIDQ4299530

Ieuan G. Morgan, Edwin H. Neave

Publication date: 4 July 1994

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150090406

zbMATH Keywords

mean reversiondiscrete-time single-factor modelmultiplicative binomial forward process

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Financial econometrics: Past developments and future challenges
• Notes on financial econometrics
• Unnamed Item

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