The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Peter Ritchken ; L. Sankarasubramanian
| Year of publication: |
1995
|
|---|---|
| Authors: | Ritchken, Peter H. |
| Other Persons: | Sankarasubramanian, L. (contributor) |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 3.1995, 1, p. 25-41
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| Subject: | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001219431