Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B. - 2000
, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and … the model parameters to obtain the best hedging and pricing results. We use data on interest rates, and cap and swaption … prices from 1995 to 1999. The empirical results on the hedging of caps and swaptions show that, if the number of hedge …