Pricing Polish three-year bonds in the HJM framework
Volume 27 / 2000
Applicationes Mathematicae 27 (2000), 411-417
DOI: 10.4064/am-27-4-411-417
Abstract
We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
