On the information in the interest rate term structure and option prices
From MaRDI portal
Publication:704010
DOI10.1023/B:REDR.0000031175.79497.7fzbMath1080.91044OpenAlexW3122218143MaRDI QIDQ704010
Joost Driessen, Frank de Jong, Antoon Pelsser
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:redr.0000031175.79497.7f
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Level–Slope–Curvature – Fact or Artefact? ⋮ A double obstacle model for pricing bi-leg defaultable interest rate swaps ⋮ Efficient rank reduction of correlation matrices ⋮ A novel method for a class of structured low-rank minimizations with equality constraint ⋮ Rank reduction of correlation matrices by majorization ⋮ Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions ⋮ The LIBOR model dynamics: Approximations, calibration and diagnostics ⋮ Pricing rate of return guarantees in regular premium unit linked insurance
This page was built for publication: On the information in the interest rate term structure and option prices
