SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (Q3523595): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Market Model of Interest Rate Dynamics / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Continuous-time term structure models: Forward measure approach / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: LIBOR and swap market models and measures / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Changes of numéraire, changes of probability measure and option pricing / rank | |||
Normal rank | |||
Revision as of 16:01, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL |
scientific article |
Statements
SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (English)
0 references
3 September 2008
0 references
term structure of interest rates
0 references
hedging
0 references
simulation
0 references
lognormal forward LIBOR model
0 references
