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Transition probability functions for martingale laws of bond prices

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  • Carriere, J. F.

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  • Carriere, J. F., 2001. "Transition probability functions for martingale laws of bond prices," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 393-399, June.
    • Handle: RePEc:eee:insuma:v:28:y:2001:i:3:p:393-399
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
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