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Discrete annuities using truncate stochastic interest rates: the case of a Vasicek and Ho-Lee model
Discrete annuities using truncate stochastic interest rates: the case of a Vasicek and Ho-Lee model
2005
Ina Koch
De Schepper A
Keywords:
Cox–Ingersoll–Ross model
Financial economics
Stochastic modelling
Rendleman–Bartter model
Vasicek model
Black–Derman–Toy model
Ho–Lee model
Economics
Short-rate model
Continuous-time stochastic process
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