The duration vector: A continuous-time extension to default-free interest rate contingent claims

This paper presents a continuous-time contingent claims framework for the traditional duration vector models of Chambers et al. (Journal of Financial and Quantitative Analysis (March 1988) 89–104), Prisman and Shores (Journal of Banking and Finance 12 (1988) 493–504), and others, by embedding these...

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Veröffentlicht in:	Journal of banking & finance 1995-11, Vol.19 (8), p.1359,1369-1366,1378
1. Verfasser:	Nawalkha, Sanjay K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Banking Bonds Callable bonds Contingent claims Interest rates Options Risk
Online-Zugang:	Volltext
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