An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (Q1398974)
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scientific article; zbMATH DE number 1961853
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| English | An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
scientific article; zbMATH DE number 1961853 |
Statements
An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (English)
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7 August 2003
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multi-factor CIR
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LIBOR and swap markets
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CAPS
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swaptions
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0.8842629
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0.8648058
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0.85694236
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0.85629606
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0.8511843
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0.85039425
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0.8458687
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0.8396491
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0.83956325
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