Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model

DOI10.1007/s11424-010-6042-3zbMath1197.91191OpenAlexW1993142664MaRDI QIDQ601887

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Publication date: 29 October 2010

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-6042-3

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