Valuation of CMS range notes in a multifactor LIBOR market model
Ping Wu (School of Mathematics and Statistics Nanjing University of Information Science & Technology No. 219 Nanjing, Jiangsu, China), Robert J. Elliott (Haskayne School of Business University of Calgary, University Dr NW, Calgary, Canada)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Wu, Ping ; Elliott, Robert J. |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-19
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| Subject: | LIBOR market model | constant maturity swap | CMS range notes | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Swap |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011532755