Valuation of callable range accrual linked to CMS Spread under generalized swap market model
Jie-Cao He, Chang-Chieh Hsieh, Zi-Wei Huang, Shih-Kuei Lin
| Year of publication: |
2023
|
|---|---|
| Authors: | He, Jie-Cao ; Hsieh, Chang-Chieh ; Huang, Zi-Wei ; Lin, Shih-kuei |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-13
|
| Subject: | Constant maturity swap | Generalized swap market model | Interest rate derivatives | Least square Monte Carlo method | Range accrual | Zinsderivat | Interest rate derivative | Swap | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102956 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014468776