Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model

✍ Scribed by Ping Li; Peng Shi; Guangdong Huang; Xiaojun Shi

• Book ID: 107347189
• Publisher: Academy of Mathematics and Systems Science, Chinese Academy of Sciences
• Year: 2010
• Tongue: English
• Weight: 160 KB
• Volume: 23
• Category: Article
• ISSN: 1009-6124
• DOI: 10.1007/s11424-010-6042-3