Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting (Q4585677)
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scientific article; zbMATH DE number 6933338
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| English | Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting |
scientific article; zbMATH DE number 6933338 |
Statements
Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting (English)
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6 September 2018
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equilibrium derivative pricing
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business cycles
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mean reversion
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0.6966894268989563
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0.6892303228378296
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0.6829034090042114
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0.678877592086792
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