Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Frédéric Godin, Ramin Eghbalzadeh, Patrice Gaillardetz
| Year of publication: |
2023
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|---|---|
| Authors: | Godin, Frédéric ; Eghbalzadeh, Ramin ; Gaillardetz, Patrice |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 26.2023, 2/3, p. 171-206
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| Subject: | Discrete-time arbitrage-free Nelson-Siegel model | Interest rate derivatives | Option excess returns | Option premium | Options on futures | Swaptions | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Derivat | Derivative | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Swap | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-023-09196-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423872