Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
| Year of publication: |
2011
|
|---|---|
| Authors: | Kiesel, Rüdiger ; Lutz, Matthias |
| Published in: |
The journal of computational finance. - London : Incisive Media, ISSN 1460-1559, ZDB-ID 1433009x. - Vol. 14.2011, 4, p. 37-73
|