The performance of multi-factor term structure models for pricing and hedging caps and swaptions
Joost Driessen; Pieter Klaassen, and Bertrand Melenberg
| Year of publication: |
2003
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|---|---|
| Authors: | Driessen, Joost ; Klaassen, Pieter ; Melenberg, Bertrand |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 38.2003, 3, p. 635-672
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| Subject: | Derivat | Derivative | Hedging | 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/10001794047