Pricing American Interest Rate Claims with Humped Volatility Models

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	1131-1157
Journal	Journal of Banking and Finance
Volume	21
Issue number	8
DOIs	https://doi.org/10.1016/S0378-4266(97)00019-8
Publication status	Published - 1997

Access to Document

@article{1a662942ff18433981458545aa86953b,

title = "Pricing American Interest Rate Claims with Humped Volatility Models",

author = "J.M. Moraleda and A.C.F. Vorst",

year = "1997",

doi = "10.1016/S0378-4266(97)00019-8",

language = "English",

volume = "21",

pages = "1131--1157",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier",

number = "8",

}