Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Yangfan Zhong and Yanhui Mi
| Year of publication: |
September 2018
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|---|---|
| Authors: | Zhong, Yangfan ; Mi, Yanhui |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 3, p. 1-31
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| Subject: | LIBOR market model | multiple-curve models | multiplicative basis | square-root process | multi-factor model | in-arrears cap | ratchet cap | fast Fourier transform | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | EU-Agrarpolitik | Common agricultural policy | Derivat | Derivative | Stochastischer Prozess | Stochastic process | EU-Staaten | EU countries |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500238 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923038