Barrier caps and floors under the LIBOR market model with double exponential jumps
Jui-Jane Chang, Son-Nan Chen, Chun-Chao Wang, and Ting-Pin Wu
| Year of publication: |
2014
|
|---|---|
| Authors: | Chang, Jui-jane ; Chen, Son-nan ; Wang, Chun-chao ; Wu, Ting-pin |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 21.2014, 4, p. 7-30
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| Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative |