Cap and swaption approximations in Libor market models with jumps
Paul Glasserman; Nicolas Merener
| Year of publication: |
2003
|
|---|---|
| Authors: | Glasserman, Paul ; Merener, Nicolas |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 7.2003, 1, p. 1-36
|
| Subject: | Swap | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001805437