Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model
Charity Wamwea, Philip Ngare, Martin Le Doux Mbele Bidima, Susan Mwelu
| Year of publication: |
2019
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|---|---|
| Authors: | Wamwea, Charity ; Ngare, Philip ; Bidima, Martin Le Doux Mbele ; Mwelu, Susan |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 4, p. 698-725
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| Subject: | Multiple Curves | Quanto | Cross Currency | LIBOR Market Model | Model Calibration | Cap or Floor Pricing | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.94036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012433485