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Binomial Lattice for the Cox, Ingersoll and Ross Spot Rate Process
Lattice for the Cox, Ingersoll and Ross Spot Rate Process This paper provides commentary on the paper entitled ... entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J. Macleod, and J. D. Thomison ...- Authors: Elias Shiu, ZHAOBI HA
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods