Effective Markovian Projection : Application to CMS Spread Options and Mid-Curve Swaptions
Year of publication: |
[2021]
|
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Authors: | Felpel, Mike ; Kienitz, Joerg ; McWalter, Thomas |
Publisher: |
[S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Swap | Markov-Kette | Markov chain | Zinsstruktur | Yield curve |
Extent: | 1 Online-Ressource (44 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 3, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3797245 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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