On pricing kernels and finite-state variable heath Jarrow Morton models

Review of Derivatives Research

Volumn 1, Issue 1, 1996, Pages 87-99

  Pennacchi, George ^a   Ritchken, Peter ^b   Sankarasubramanian, L ^c  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b CASE WESTERN RESERVE UNIVERSITY   (United States)

^c Wells Fargo   (United States)

Author keywords

Finite state bond models; Pricing kernel

Indexed keywords

EID: 3042889975     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01536396     Document Type: Article

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