Título:

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Autores:

João Pedro Vidal Nunes (U Warwick, ISCTE - Instituto Universitário de Lisboa, CEMAF - ISCTE, IUL)
Les Clewlow (U Technology, Australia, U Warwick)
Stewart Hodges (U Warwick, Australian Natl U)

Revista:

Review Of Derivatives Research

Ano:

1999

Volume:

3

Páginas:

5-66

Código JEL:

G13 - Contingent Pricing; Futures Pricing