PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL

Ping LI;Peng SHI;Guangdong HUANG;Xiaojun SHI

Journal of Systems Science & Complexity ›› 2010, Vol. 23 ›› Issue (2) : 261-269.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 2010, Vol. 23 ›› Issue (2) : 261-269. DOI: 10.1007/s11424-010-6042-3
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PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2010, 23(2): 261-269 https://doi.org/10.1007/s11424-010-6042-3

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