The arbitrage-free valuation and hedging of demand deposits and credit card loans

Journal of Banking and Finance

Volumn 22, Issue 3, 1998, Pages 249-272

  Jarrow, Robert A ^a,b   Van Deventer, Donald R ^b  

^a Dyson School of Applied Economics and Management   (United States)

^b Kamakura Corporation   (United States)

Author keywords

Arbitrage free pricing; Credit card loans; Demand deposits; G12; G21; G31; Health Jarrow Morton model

Indexed keywords

EID: 0039502272     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(97)00058-7     Document Type: Article

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