Valuation of interest rate spread options in a multifactor LIBOR market model
Ting-Pin Wu and Son-Nan Chen
| Year of publication: |
2009
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|---|---|
| Authors: | Wu, Ting-pin ; Chen, Son-nan |
| 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. 16.2008/09, 3, p. 38-52
|
| Subject: | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve |
| 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/10003852622