Volatility of the short rate in the rational lognormal model

Name: Volatility of the short rate in the rational lognormal model
Creator: Lisa R. Goldberg
Keywords: rational lognormal model, 0502 economics and business, 05 social sciences, Interest rate model, volatility, option value, volatility, jel:E43, option value, Applications of stochastic analysis (to PDEs, etc.), interest rate model, 0101 mathematics

Lisa R. Goldberg

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Finance and Stochastics

Article . 1998 . Peer-reviewed

License: Springer TDM

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Research Papers in Economics

Article . 1998

Full-Text: http://link.springer.de/link/service/journals/00780/papers/8002002/80020199.pdf

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https://dx.doi.org/10.1007/s00...

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Volatility of the short rate in the rational lognormal model

descriptionPublicationkeyboard_double_arrow_right Article 01 Feb 1998Publisher:Springer Science and Business Media LLCJournal:Finance and Stochastics, volume 2, pages 199-211 (issn: 0949-2984, eissn: 1432-1122,

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Authors: Lisa R. Goldberg;

doi: 10.1007/s007800050038

Volatility of the short rate in the rational lognormal model

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Abstract

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Keywords

rational lognormal model, Interest rate model, volatility, option value, volatility, option value, Applications of stochastic analysis (to PDEs, etc.), interest rate model, Finance etc., jel: jel:E43, jel: jel:G13

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