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Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components

Author

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  • Cooley, T.F.
  • LeRoy, S.F.

Abstract

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Suggested Citation

  • Cooley, T.F. & LeRoy, S.F., 1991. "Pricing Interest-Sensitive Claims when Interest Rates Have Stationary Components," Papers 91-02, Rochester, Business - General.
    • Handle: RePEc:fth:robuge:91-02
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    Cited by:

    1. Backus, David & Foresi, Silverio & Zin, Stanley, 1998. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 13-26, January.

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    Keywords

    financial market ; interest rate;

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