Stochastic duration and fast coupon bond option pricing in multi-factor models
From MaRDI portal
Publication:375483
DOI10.1023/A:1009654427422zbMath1274.91431MaRDI QIDQ375483
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
term structure of interest ratescoupon bond option pricingmulti-factor modelsstochastic durationswaption pricing
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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