Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates (Q5886356)
From MaRDI portal
scientific article; zbMATH DE number 7671146
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates |
scientific article; zbMATH DE number 7671146 |
Statements
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates (English)
0 references
31 March 2023
0 references
risk-free rate
0 references
LIBOR reform
0 references
backward-looking rate
0 references
affine process
0 references
Fourier pricing
0 references
0 references
0 references
0 references
