Risk-management Bermudan swaptions in a LIBOR model
Raoul Pietersz and Antoon Pelsser
| Year of publication: |
2004
|
|---|---|
| Authors: | Pietersz, Raoul ; Pelsser, Antoon André Jean |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 11.2003, 3, p. 51-62
|
| Subject: | Swap | Risikomanagement | Risk management | Volatilität | Volatility | Simulation |
| 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/10002007139