Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

DOI10.1023/A:1013816921237zbMath0996.91044OpenAlexW3121774119MaRDI QIDQ4530195

Joost Driessen, Frank de Jong, Antoon Pelsser

Publication date: 30 May 2002

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013816921237

zbMATH Keywords

term structure modelsinterest rate derivativesBlack formulalognormal pricing models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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