Valuation of two-factor interest rate contingent claims using Green's theorem
Year of publication: |
2011
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---|---|
Authors: | Sorwar, Ghulam ; Barone-Adesi, Giovanni |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 18.2011, 3/4, p. 277-289
|
Subject: | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative |
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