An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives
Year of publication: |
2014
|
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Authors: | Chen, Rui |
Other Persons: | Du, Ke (contributor) ; Zhu, Xiaoneng (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Volatilität | Volatility | Derivat | Derivative | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing |
Extent: | 1 Online-Ressource (46 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 9, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2509327 [DOI] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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