CHEN, AN; SANDMANN, KLAUS - In: International Journal of Theoretical and Applied … 15 (2012) 08, pp. 1250054-1
When pricing an in-arrears term structure product, the valuation usually boils down to determining the price of a vanilla product and of some additional part. To computer the price of the additional part, sometimes a specific term structure (like Gaussian or LIBOR) is assumed. Sometimes...