Black's model of interest rates as options, eigenfunction expansions and japanese interest rates

Mathematical Finance

Volumn 14, Issue 1, 2004, Pages 49-78

  Gorovoi, Viatcheslav ^a   Linetsky, Vadim ^a  

^a Northwestern University   (United States)

Author keywords

Area functional; Bond options; Bonds; CIR model; Eigenfunction expansion; Interest rate models; Vasicek model

Indexed keywords

EID: 1042290832     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00181.x     Document Type: Article

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