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

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@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 B.V.",

number = "8",

}

TY - JOUR

T1 - Pricing American Interest Rate Claims with Humped Volatility Models

AU - Moraleda, J.M.

AU - Vorst, A.C.F.

PY - 1997

Y1 - 1997

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U2 - 10.1016/S0378-4266(97)00019-8

DO - 10.1016/S0378-4266(97)00019-8

M3 - Article

SN - 0378-4266

VL - 21

SP - 1131

EP - 1157

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 8

ER -