Multi-Curves Framework with Stochastic Spread : A Coherent Approach to STIR Futures and Their Options
Year of publication: |
2013
|
---|---|
Authors: | Henrard, Marc P. A. |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (24 p) |
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Series: | OpenGamma Quantitative Research ; No. 11, March 2013 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2230545 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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