Valuation of caps and swaptions under a stochastic string model
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Publication:2141896
DOI10.1016/j.physa.2020.125103OpenAlexW3126078288MaRDI QIDQ2141896
Publication date: 25 May 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2020.125103
Related Items (2)
Bond market completeness under stochastic strings with distribution-valued strategies ⋮ A quantum mechanics for interest rate derivatives markets
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