Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model
type: Item
instance of: scholarly article
title: Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model
zbMATH Open document ID: 1197.91191
author: Ping Li
author: Peng Shi
author: Guangdong Huang
author: Xiaojun Shi
published in: Journal of Systems Science and Complexity
publication date: 2010-10-29T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 5808600
zbMATH Keywords: Cox-Ingersoll-Ross model
zbMATH Keywords: futures pricing
zbMATH Keywords: LIBOR futures
zbMATH Keywords: martingale
MaRDI profile type: Publication
full work available at URL: s11424-010-6042-3
OpenAlex ID: W1993142664
cites work: Q4794153
cites work: Q4368791
cites work: On the martingale framework for futures prices.
cites work: A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
cites work: Bond, futures and option evaluation in the quadratic interest rate model
cites work: Q3160494
DOI: 10.1007/S11424-010-6042-3
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description: scientific article; zbMATH DE number 5808600