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A Generalized Procedure for Building Trees for the Short Rate and Its Application to Determining Market Implied Volatility Functions
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Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 12 checked references that resolve
resolves10.1016/j.jbankfin.2011.06.012
Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
resolves10.2469/faj.v46.n1.33
A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
resolves10.1080/14697688.2012.740569
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
resolves10.1111/j.1540-6261.1986.tb02528.x
Term Structure Movements and Pricing Interest Rate Contingent Claims
resolves10.3905/jod.1994.407902
Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models
The 4 references without a DOI — listed, not checked
no DOI — not checkedOIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads
no DOI — not checkedJoint Measure Models of the Short Rate
no DOI — not checkedref15
no DOI — not checkedref16
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