Estimating the Short Rate from the Term Structures in the Vasicek Model
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Publication:5176892
DOI10.2478/TMMP-2014-0029zbMath1331.91185OpenAlexW1994200863MaRDI QIDQ5176892
Beata Stehlíková, Jana Halgašová, Zuzana Bučková
Publication date: 4 March 2015
Published in: Tatra Mountains Mathematical Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/tmmp-2014-0029
Stochastic models in economics (91B70) Estimation and detection in stochastic control theory (93E10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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