Die Bedeutung der Mean-Reversion von Zinsprozessen für Optionswerte : das Beispiel der Korridor-Zinsoption
Alternative title: | Importance of mean-reversion of interest rate processes for options |
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Year of publication: |
1999
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Authors: | Uhrig-Homburg, Marliese |
Published in: |
OR-Spektrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 1465994-3. - Vol. 21.1999, 1/2, p. 183-203
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Subject: | Zinsderivat | Interest rate derivative | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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