Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Roberto Baviera
| Year of publication: |
2019
|
|---|---|
| Authors: | Baviera, Roberto |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 5, p. 1-24
|
| Subject: | Multi-curve interest rates | parsimonious modeling | cash-settled swaptions | physical delivery swaptions | calibration cascade | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Swap | Zins | Interest rate | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500274 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012153037