A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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Publication:5950466
DOI10.1007/PL00013541zbMath0978.91032OpenAlexW1993924242MaRDI QIDQ5950466
Publication date: 12 December 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013541
Cox-Ingersoll-Ross modeldeterministic-shift extensionshort-rate modelVasicek modelzero-coupon bond price
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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