A class of arbitrage-free log-normal-short-rate two-factor models

DOI10.1080/135048697334764zbMath1010.91052OpenAlexW2085572612MaRDI QIDQ4541550

Riccardo Rebonato

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334764

zbMATH Keywords

market priceAmerican and compound optionsarbitrage-free two-factor model

Mathematics Subject Classification ID

Cites Work

• Problems in certain two-factor term structure models
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
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