Pricing CMS spread options in a Libor market model
Denis Belomestny, Anastasia Kolodko and John Schoenmakers
| Year of publication: |
2010
|
|---|---|
| Authors: | Belomestny, Denis ; Kolodko, Anastasia ; Schoenmakers, John |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 1, p. 45-62
|
| Subject: | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008860424