BREAKING DOWN BARRIERS - How the calculated price of a barrier swaption changes with the number of times the barrier is checked for a breach.
| Year of publication: |
1996
|
|---|---|
| Authors: | Cheuk, Terry ; Vorst, Ton |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 9.1996, 4, p. 64-68
|