A bond pricing formula under a non-trivial, three-factor model of interest rates

Economics Letters - Tập 51 - Trang 95-99 - 1996
Lin Chen1
1Federal Research Board, 20th & Constitution Avenue, Washington, DC 20551, USA

Tài liệu tham khảo

Chan, 1992, An empirical comparison of alternative models of the short-term interest rates, Journal of Finance, 47, 1209, 10.2307/2328983 Duffie, 1992 Friedman, 1975, Vol. 1 Litterman, 1991, Volatility and the yield curve, The Journal of fixed Income, 49, 10.3905/jfi.1991.692346
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Thông tin xuất bản

Economics Letters

Tập 51

95-99

Thông tin tác giả