Interest rate swaps: a comparison of compounded daily versus discrete reference rates
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Publication:6154207
DOI10.1007/s11147-022-09191-1OpenAlexW4297243341MaRDI QIDQ6154207
Publication date: 19 March 2024
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-022-09191-1
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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