Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Year of publication: |
2013
|
---|---|
Authors: | Chang, Jui-jane ; Chen, Son-nan ; Wu, Ting-pin |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 33.2013, 9, p. 827-867
|
Subject: | Swap | Zinsstruktur | Yield curve | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
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