Pricing American interest rate claims with humped volatility models

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

23 Citations (Scopus)

Original language	Undefined/Unknown
Pages (from-to)	1131-1157
Number of pages	27
Journal	Journal of Banking and Finance
Volume	21
Issue number	8
Publication status	Published - 1997

Research programs

@article{75e3ebd8895142d48fb7e6855df80c15,

title = "Pricing American interest rate claims with humped volatility models",

author = "Vorst, \{ACF (Ton)\} and J Moraleda",

year = "1997",

language = "Undefined/Unknown",

volume = "21",

pages = "1131--1157",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier",

number = "8",

}