Three ways to solve for bond prices in the Vasicek model

Journal of Applied Mathematics and Decision Sciences

Volumn 8, Issue 1, 2004, Pages 1-14

  Mamon, Rogemar S ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Bond pricing; Forward measure; HJM methodology; Martingales; Vasicek model

Indexed keywords

EID: 53549083671     PISSN: 11739126     EISSN: 15327612     Source Type: Journal    
DOI: 10.1155/S117391260400001X     Document Type: Article

References (7)

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