Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Luca Di Persio and Nicola Gugole
| Year of publication: |
2018
|
|---|---|
| Authors: | Di Persio, Luca ; Gugole, Nicola |
| Published in: |
New methods in fixed income modeling : fixed income modeling. - Cham : Springer, ISBN 978-3-319-95284-0. - 2018, p. 61-83
|
| Subject: | Optionspreistheorie | Option pricing theory | USA | United States | Zinsderivat | Interest rate derivative | Theorie | Theory | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-95285-7_4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012011579