In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Year of publication: |
2012
|
---|---|
Authors: | Chen, An ; Sandmann, Klaus |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 8, p. 1-24
|
Subject: | In-arrears swaps | In-arrears caps and floors | Convexity adjustments | Pricing bounds | Risk-neutral pricing | Change of measure | CAPM | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Swap | Arbitrage Pricing | Arbitrage pricing |
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