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"Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model."

Ping Li et al. (2010)

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DOI: 10.1007/S11424-010-6042-3

access: closed

type: Journal Article

metadata version: 2023-10-11

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  - journals/jossac/LiSHS10
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  - https://dblp.org/rec/journals/jossac/LiSHS10
Ping Li, Peng Shi, Guangdong Huang, Xiao-Jun Shi:
Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model. J. Syst. Sci. Complex. 23(2): 261-269 (2010)

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