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An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi
;
Kaplin, Andrew
;
Sun, Steve
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Journal of econometrics
116
(
2003
)
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pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
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An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi
;
Kaplin, Andrew
;
Sun, Steve
- In:
Journal of econometrics
116
(
2003
)
1
,
pp. 113-146
Persistent link: https://www.econbiz.de/10006761942
Saved in:
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