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Arbitrage-Free Pricing of Interest-Rate Contingent Claims
. ° . ) Vt_l,n, where [fo ] Vt 1,i = exp - 8i(s)ds ; (2.1) see Figure 1. Note that for t= 1, v ,_ ... PRICING 235 and " v (2.11) ~ Oil~ i -7- - - . i s ! V 1 Note that (2.10) is the first component of ...- Authors: Elias Shiu, Application Administrator, Hal Warren Pedersen
- Date: Oct 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Economic value