A multiple curve Lévy swap market model
Ernst Eberlein, Christoph Gerhart and Eva Lütkebohmert
| Year of publication: |
2020
|
|---|---|
| Authors: | Eberlein, Ernst ; Gerhart, Christoph ; Lütkebohmert, Eva |
| Subject: | Lévy processes | multiple curve model | swap market model | swaption pricing | Swap | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1877559 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012501623