Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Jui-Jane Chang; Son-Nan Chen; Ting-Pin Wu
| Year of publication: |
2013
|
|---|---|
| Authors: | Chang, Jui-jane ; Chen, Son-nan ; Wu, Ting-pin |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 9, p. 827-867
|
| Subject: | Swap | Zinsstruktur | Yield curve | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative |
| 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/10009779065