Interest Guarantees in Banking
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DOI: 10.1080/13504860500117552
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- Norberg, Ragnar, 2003. "The Markov Chain Market," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 265-287, November.
- Miltersen, Kristian R. & Persson, Svein-Arne, 1999. "Pricing rate of return guarantees in a Heath-Jarrow-Morton framework," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 307-325, December.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
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Keywords
Stochastic interest; loans; nominal interest rate; diffusion interest model; Markov chain interest model; closed form solutions;All these keywords.
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