In-arrears term structure products: no arbitrage pricing bounds and the convexity adjustments (Q4909139)
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scientific article; zbMATH DE number 6143523
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| English | In-arrears term structure products: no arbitrage pricing bounds and the convexity adjustments |
scientific article; zbMATH DE number 6143523 |
Statements
IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS (English)
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12 March 2013
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in-arrears swaps
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in-arrears caps and floors
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convexity adjustments
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pricing bounds
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risk-neutral pricing
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change of measure
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0.7900862693786621
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0.7788869142532349
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0.7178096771240234
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0.6921895742416382
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0.6863911151885986
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