Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Year of publication: |
2011
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Authors: | Wu, Ting-pin ; Chen, Son-nan |
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. 19.2011, 1, p. 41-55
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Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Arbeitskampf | Industrial action | Swap |
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