Discrete-time continuous-state interest rate models

DOI10.1016/S0165-1889(00)00065-8zbMath0983.91025MaRDI QIDQ5940867

Michael A. Sullivan

Publication date: 20 August 2001

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

discrete timeinterest rateprices of contingent claims

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model

Cites Work

• Projection methods for solving aggregate growth models
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach
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