In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
An Chen; Klaus Sandmann
| Year of publication: |
2012
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|---|---|
| Authors: | Chen, An ; Sandmann, Klaus |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 8, p. 1-24
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| Subject: | In-arrears swaps | In-arrears caps and floors | Convexity adjustments | Pricing bounds | Risk-neutral pricing | Change of measure | Zinsderivat | Interest rate derivative | CAPM | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Swap |
| Extent: | graph. Darst. |
|---|---|
| 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/10009706335