Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Shih-Kuei Lin, Shin-Yun Wang, Carl R. Chen, Lian-Wen Xu
| Year of publication: |
November 2017
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| Authors: | Lin, Shih-kuei ; Wang, Shin-yun ; Chen, Carl R. ; Xu, Lian-Wen |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 42.2017, p. 359-373
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| Subject: | Stochastic model in continuous time | interest rate | LIBOR market model | Jump risks | Range Accrual Interest Rate Swap (RAIRS) | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Swap | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.07.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011938138