A unified market model for swaptions and constant maturity swaps
Year of publication: |
2021
|
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Authors: | Tee, Chyng Wen ; Kerkhof, Franciscus Lambertus Johannes |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 4, p. 1-31
|
Subject: | constant maturity swaps | derivative valuation | fixed income market | Interest rate market | interest rate models | stochastic volatility models | swaptions | Swap | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Volatilität | Volatility | Zins | Interest rate | Anleihe | Bond |
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