Spike and hike modeling for interest rate derivatives : with an application to SOFR caplets
Leif Andersen and Dominique Bang
| Year of publication: |
2024
|
|---|---|
| Authors: | Andersen, Leif B. G. ; Bang, Dominique |
| Subject: | Daily compounding | Interest rate options | SOFR | Spikes and hikes | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2364800 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196868