Keywords
BondArbitrageTerm (time)Maturity (psychological)EconomicsYield curveMathematical economicsForward rateGaussBond valuationAffine term structure modelEconometricsMathematicsInterest rateFinancial economicsFinancePhysics
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Publication Info
- Year
- 1979
- Type
- article
- Volume
- 3
- Issue
- 2
- Pages
- 133-155
- Citations
- 811
- Access
- Closed
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Cite This
Michael J. Brennan,
Eduardo S. Schwartz
(1979).
A continuous time approach to the pricing of bonds.
Journal of Banking & Finance
, 3
(2)
, 133-155.
https://doi.org/10.1016/0378-4266(79)90011-6
Identifiers
- DOI
- 10.1016/0378-4266(79)90011-6