Calibration of the Libor market model using correlations implied by CMS spread options
Reik H. Börger & Jan van Heys
| Year of publication: |
2010
|
|---|---|
| Authors: | Börger, Reik H. ; Heys, Jan van |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 17.2010, 5/6, p. 453-469
|
| Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Swap | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008797251