Arbitrage-free discretization of lognormal forward Libor and swap rate models
Paul Glasserman; Xiaoliang Zhao
| Year of publication: |
2000
|
|---|---|
| Authors: | Glasserman, Paul ; Zhao, Xiaoliang |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 4.2000, 1, p. 35-68
|
| Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Theorie | Theory |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Finance and stochastics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001486621