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An Interest Rate Model with Upper and Lower Bounds
3 references·6 citing·34 second hop
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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited

Cited by

  • 2024Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations52 cited
  • 2007Chapter 6 Spectral Methods in Derivatives Pricing46 cited
  • 2013Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach45 cited
  • 2009Stochastic Volatility and Stochastic Leverage38 cited
  • 2020Polynomial Jump-Diffusion Models32 cited
  • 2018Polynomial processes in stochastic portfolio theory31 cited

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