Accurate pricing of swaptions via lower bound
Anna Maria Gambaro, Ruggero Caldana, and Gianluca Fusai
| Year of publication: |
[2018]
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|---|---|
| Authors: | Gambaro, Anna Maria ; Caldana, Ruggero ; Fusai, Gianluca |
| Published in: |
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets. - Cham : Springer Nature, ISBN 978-3-319-61318-5. - 2018, p. 183-208
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| Subject: | Pricing | Swaptions | Characteristic function | Fourier transform | Lower bound | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Swap |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-61320-8_9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011898636