Valuation of certain CMS spreads
Ping Wu, Robert J. Elliott
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Wu, Ping ; Elliott, Robert J. |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 31.2017, 4, p. 445-467
|
| Subject: | LIBOR market model | Levy approach | CMS spread digital range notes | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-017-0301-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944624