{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,30]],"date-time":"2022-03-30T19:12:10Z","timestamp":1648667530917},"reference-count":11,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2010,4,1]],"date-time":"2010-04-01T00:00:00Z","timestamp":1270080000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J Syst Sci Complex"],"published-print":{"date-parts":[[2010,4]]},"DOI":"10.1007\/s11424-010-6042-3","type":"journal-article","created":{"date-parts":[[2010,5,15]],"date-time":"2010-05-15T00:16:17Z","timestamp":1273882577000},"page":"261-269","source":"Crossref","is-referenced-by-count":0,"title":["Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model"],"prefix":"10.1007","volume":"23","author":[{"given":"Ping","family":"Li","sequence":"first","affiliation":[]},{"given":"Peng","family":"Shi","sequence":"additional","affiliation":[]},{"given":"Guangdong","family":"Huang","sequence":"additional","affiliation":[]},{"given":"Xiaojun","family":"Shi","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2010,5,16]]},"reference":[{"key":"6042_CR1","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/0304-405X(81)90002-7","volume":"9","author":"J. C. Cox","year":"1981","unstructured":"J. C. Cox, J. E. Ingersoll, and S. A. Ross, The relation between forward prices and futures prices, Journal of Financial Economics, 1981, 9: 321\u2013346.","journal-title":"Journal of Financial Economics"},{"key":"6042_CR2","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0304-405X(81)90004-0","volume":"9","author":"R. A. Jarrow","year":"1981","unstructured":"R. A. Jarrow and G. S. Oldfield, Forward contracts and futures contracts, Journal of Financial Economics, 1981, 9: 373\u2013382.","journal-title":"Journal of Financial Economics"},{"key":"6042_CR3","volume-title":"Dynamic Asset Pricing Theory","author":"D. Duffie","year":"2001","unstructured":"D. Duffie, Dynamic Asset Pricing Theory, 3rd Edition. Princeton University Press, Princeton, NJ, 2001.","edition":"3rd Edition"},{"key":"6042_CR4","doi-asserted-by":"crossref","DOI":"10.1007\/b98840","volume-title":"Methods of Mathematical Finance","author":"I. Karatzas","year":"1998","unstructured":"I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer, New York, 1998."},{"key":"6042_CR5","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1016\/j.spa.2003.09.003","volume":"109","author":"V. Pozdnyakova","year":"2004","unstructured":"V. Pozdnyakova and J. M. Steele, On the martingale framework for futures prices, Stochastic Processes and their Applications, 2004, 109: 69\u201377.","journal-title":"Stochastic Processes and their Applications"},{"issue":"2","key":"6042_CR6","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1111\/1467-9965.00027","volume":"7","author":"K. Sandmann","year":"1997","unstructured":"K. Sandmann and D. Sondermann, A Note on the stability of lognormal interest rate models and the pricing of Eurodollar futures, Mathematical Finance, 1997, 7(2): 119\u2013122.","journal-title":"Mathematical Finance"},{"key":"6042_CR7","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1080\/13504869600000005","volume":"3","author":"F. Jamshidian","year":"1996","unstructured":"F. Jamshidian, Bond, futures and option evaluation in the quadratic interest rate model, Applied Mathematical Finance, 1996, 3: 93\u2013115.","journal-title":"Applied Mathematical Finance"},{"key":"6042_CR8","unstructured":"J. Bialkowski and J. Jakubowski, On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model. Working paper, 2002. URL: http:\/\/alpha.mini.pw.edu.pl\/fmg\/files\/workingpapers\/sn4.pdf."},{"key":"6042_CR9","doi-asserted-by":"crossref","unstructured":"J. Bialkowski and J. Jakubowski, On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model, Mathematics of finance, in Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, Edited By George Yin and Qing Zhang, 2004.","DOI":"10.1090\/conm\/351\/06390"},{"issue":"2","key":"6042_CR10","first-page":"1","volume":"7","author":"B. Benninga","year":"1998","unstructured":"B. Benninga and Z. Wiener, Term structure of interest rates, Mathematica in Education and Research, 1998, 7(2): 1\u20139.","journal-title":"Mathematica in Education and Research"},{"issue":"4","key":"6042_CR11","doi-asserted-by":"crossref","first-page":"77","DOI":"10.2469\/faj.v57.n4.2467","volume":"57","author":"D. A. Chapman","year":"2001","unstructured":"D. A. Chapman and N. D. Pearson, Recent advances in estimating term-structure models, Financial Analysts Journal, 2001, 57(4): 77\u201395.","journal-title":"Financial Analysts Journal"}],"container-title":["Journal of Systems Science and Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-010-6042-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11424-010-6042-3\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-010-6042-3","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,1]],"date-time":"2019-06-01T10:53:59Z","timestamp":1559386439000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11424-010-6042-3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,4]]},"references-count":11,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2010,4]]}},"alternative-id":["6042"],"URL":"https:\/\/doi.org\/10.1007\/s11424-010-6042-3","relation":{},"ISSN":["1009-6124","1559-7067"],"issn-type":[{"value":"1009-6124","type":"print"},{"value":"1559-7067","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,4]]}}}