Simulated swaption delta-hedging in the lognormal forward LIBOR model
Tim Dun and Geoff Barton; Erik Schlögl
| Year of publication: |
2001
|
|---|---|
| Authors: | Dun, Tim ; Barton, Geoff ; Schlögl, Erik |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 4.2001, 4, p. 677-709
|
| Subject: | Hedging | Zinsstruktur | Yield curve | Simulation | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: International journal of theoretical and applied finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001600372