๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

ON THE DYBVIG-INGERSOLL-ROSS THEOREM

โœ Scribed by Constantinos Kardaras; Eckhard Platen


Book ID
111043226
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
135 KB
Volume
22
Category
Article
ISSN
0960-1627

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Embedding the Vasicek model into the Cox
โœ W. Sinkala; P. G. L. Leach; J. G. O'Hara ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 138 KB

The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of the interest spot rate. In this paper, we construct a mapping by means of which the price of a zero-coupon bond in the CIR model may be obtained from a corresponding price in the Vasicek model. We use