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Chan, K., Karolyi, A., Longstaff, F. and Sanders, A. (1992) Empirical Comparison of Alternate Models of the Short-Term Interest Rate. Journal of Finance, 47, 1209-1227. http://dx.doi.org/10.1111/j.1540-6261.1992.tb04011.x

has been cited by the following article:

• TITLE: In-Arrears Interest Rate Derivatives under the 3/2 Model

  AUTHORS: Joanna Goard

  KEYWORDS: In-Arrears Swaps, Interest Rate Options, 3/2 Model

  JOURNAL NAME: Modern Economy, Vol.6 No.6, June 18, 2015

  ABSTRACT: Lie symmetry methods are used to find a closed form solution for in-arrears swaps under the 3/2 model . As well, approximate solutions are found for short-tenor in-arrears caplets and floorlets under the same interest rate model. Comparisons are made of the approximate option values with those obtained with a computationally-intensive numerical scheme. The approximate pricing is found to be substantially fast and easy to implement, while the relative errors with respect to the “true” prices are very small.