Pricing coupon bond options and swaptions under the one-factor Hull-White model
Year of publication: |
2016
|
---|---|
Authors: | Russo, Vincenzo ; Fabozzi, Frank J. |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 25.2016, 4, p. 76-82
|
Subject: | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Anleihe | Bond |
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