Notes on convexity and quanto adjustments for interest rates and related options
Year of publication: |
2003
|
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Authors: | Boenkost, Wolfram ; Schmidt, Wolfgang M. |
Publisher: |
Frankfurt a. M. : Hochschule für Bankwirtschaft (HfB) |
Subject: | interest rate options | convexity | quanto adjustment | change of numeraire |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 378773836 [GVK] hdl:10419/27810 [Handle] RePEc:zbw:fsfmwp:47 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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Notes on convexity and quanto adjustments for interest rates and related options
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