Abstract
In this paper, we propose a new interest rate model with a zone as ageneralization of C.I.R. model. Using a perturbation method, we can have anapproximation price of interest derivatives in our model.
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Fujita, T. Pricing Derivatives in Zone Model. Asia-Pacific Financial Markets 9, 211–215 (2002). https://doi.org/10.1023/A:1024177414357
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DOI: https://doi.org/10.1023/A:1024177414357