SCOPUS 정보 검색 플랫폼

Volumn 9, Issue 1, 2005, Pages 67-88

Lévy term structure models: No-arbitrage and completeness

Author keywords

Completeness; L vy processes; No arbitrage; Term structures

Indexed keywords

EID: 11144277306 PISSN: 09492984 EISSN: None Source Type: Journal
DOI: 10.1007/s00780-004-0138-3 Document Type: Article

Times cited : (57)

References (11)

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- Closed form term structure derivatives in a Heath-Jarrow-Morton model with log-normal annually compounded interest rates
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