Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis (Q4530195)
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scientific article; zbMATH DE number 1747802
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| English | Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis |
scientific article; zbMATH DE number 1747802 |
Statements
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis (English)
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Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis (English)
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30 May 2002
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term structure models
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interest rate derivatives
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lognormal pricing models
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Black formula
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0.8095452785491943
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0.7897019982337952
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0.7897019982337952
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0.7870715856552124
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0.7836942076683044
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