Viswanath Cvsa, Peter H. Ritchken. Pricing Claims Under GARCH-Level Dependent Interest Rate Processes. Management Science, 47(12):1693-1711, 2001. [doi]
@article{CvsaR01,
title = {Pricing Claims Under GARCH-Level Dependent Interest Rate Processes},
author = {Viswanath Cvsa and Peter H. Ritchken},
year = {2001},
doi = {10.1287/mnsc.47.12.1693.10238},
url = {http://dx.doi.org/10.1287/mnsc.47.12.1693.10238},
researchr = {https://researchr.org/publication/CvsaR01},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {47},
number = {12},
pages = {1693-1711},
}