Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model

Ping Li, Peng Shi, Guangdong Huang, Xiao-Jun Shi. Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model. J. Systems Science & Complexity, 23(2):261-269, 2010. [doi]

Abstract

Abstract is missing.