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Problems in certain two-factor term structure models

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Publication:687710
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DOI10.1214/aoap/1177005438zbMath0780.90008OpenAlexW2035059426MaRDI QIDQ687710

Michael L. Hogan

Publication date: 28 October 1993

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005438


zbMATH Keywords

diffusion equationstwo-factor option pricing


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (9)

A class of arbitrage-free log-normal-short-rate two-factor models ⋮ Explosion in the quasi-Gaussian HJM model ⋮ Term structure modeling and asymptotic long rate ⋮ Term Structure Models: A Perspective from the Long Rate ⋮ Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis ⋮ Long-Term Returns in Stochastic Interest Rate Models: Applications ⋮ Parameter estimation in stochastic scenario generation systems ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ On the martingale framework for futures prices.




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