On pricing and hedging in the swaption market : how many factors, really?
Rong Fan; Anurag Gupta, and Peter Ritchken
| Year of publication: |
2007
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|---|---|
| Authors: | Fan, Rong ; Gupta, Anurag ; Ritchken, Peter H. |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 15.2007, 1, p. 9-33
|
| Subject: | Swap | Volatilität | Volatility | Hedging | Optionspreistheorie | Option pricing theory | USA | United States | 1998-2000 |
| 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/10003611410