Work

Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

Year: 2005

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.682343

Author: Marc P. A. Henrard

Institution: University College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1862823561

Cites: 7

Cited by: 22

Related to: 10