Title of article
An analytically tractable interest rate model with humped volatility
Author/Authors
F. Mercurio، نويسنده , , J. M. Moraleda، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
10
From page
205
To page
214
Keywords
Analytical formulae , Heath , Europeanoptions , Gaussian errors , normal distribution , Humped volatilities , Empirical test , Jarrow and Mortonיs framework , Interest rates
Journal title
European Journal of Operational Research
Serial Year
2000
Journal title
European Journal of Operational Research
Record number
213142
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