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- W3144562979 abstract "This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)model under Pozdnyakov and Steele(2004)'s martingale framework for futures prices.Under the CIR model for short term interest rate,we prove that there exists a unique futures price process associated with the terminal value and the standard financial market,and that this unique futures price process has a martingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contracts is obtained in the CIR model." @default.
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- W3144562979 date "2010-01-01" @default.
- W3144562979 modified "2023-09-26" @default.
- W3144562979 title "PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL" @default.
- W3144562979 hasPublicationYear "2010" @default.
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