This is a revised version of Discussion Paper CIRJE-F-129 (September 2001), Graduate School of Economics, University of Tokyo. We thank the referees, the co-editor of this journal and Roger Smith for their useful and detailed comments. We also thank Nakahiro Yoshida, Hideo Nagai and the participants of Finance Workshop at the Osaka University for their helpful comments on the earlier versions.
EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS*
Article first published online: 8 FEB 2007
Japanese Economic Review
Volume 58, Issue 1, pages 71–106, March 2007
How to Cite
KUNITOMO, N. and KIM, Y.-J. (2007), EFFECTS OF STOCHASTIC INTEREST RATES AND VOLATILITY ON CONTINGENT CLAIMS. Japanese Economic Review, 58: 71–106. doi: 10.1111/j.1468-5876.2007.00345.x
- Issue published online: 8 FEB 2007
- Article first published online: 8 FEB 2007
- Final version accepted 29 October 2004.
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