A Binomial Basis for the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates

The technical demands of the Cox, Ingersoll and Ross (1985a and 1985b) papers are such that they can only be mastered by those who have a good understanding of some deep mathematics and statistical concepts, including the techniques of continuous time stochastic calculus and the measure theory upon...

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Veröffentlicht in:	Journal of business finance & accounting 2001-04, Vol.28 (3-4), p.379-405
Hauptverfasser:	Rhys, Huw, Tippet, Mark
Format:	Artikel
Sprache:	eng
Schlagworte:	aggregate output Economic models Financial theory Hedging interest rate Interest rates Investors square root process Studies technological uncertainty Term structure
Online-Zugang:	Volltext
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