Artigo

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)
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
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