A unified market model for swaptions and constant maturity swaps
Chyng Wen Tee, Jeroen Kerkhof
| Year of publication: |
2021
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|---|---|
| Authors: | Tee, Chyng Wen ; Kerkhof, Franciscus Lambertus Johannes |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 4, p. 1-31
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| Subject: | constant maturity swaps | derivative valuation | fixed income market | Interest rate market | interest rate models | stochastic volatility models | swaptions | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500266 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652680