The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
Yunbi An; Wulin Suo
| Year of publication: |
2008
|
|---|---|
| Authors: | An, Yunbi ; Suo, Wulin |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 28.2008, 2, p. 109-130
|
| Subject: | Swap | Hedging | Volatilität | Volatility | Optionsgeschäft | Option trading | Zero-Bond | Zero-coupon bond | Optionspreistheorie | Option pricing theory | USA | United States | 1998-2004 |
| 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/10003647668