Valuing early-exercise interest-rate options with multi-factor affine models
Sebastian Jaimungal and Vladimir Surkov
| Year of publication: |
2013
|
|---|---|
| Authors: | Jaimungal, Sebastian ; Surkov, Vladimir |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 6, p. 1-29
|
| Subject: | Interest-rate derivatives | affine models | Fourier space-time stepping | accrual swaps | range notes | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Derivat | Derivative | Zinsderivat | Interest rate derivative | Swap |
| Extent: | graph. Darst. |
|---|---|
| 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/10010197181