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Pricing Swaptions Under the Market Model of Interest Rates With Local-Stochastic Volatility Models

Pricing Swaptions Under the Market Model of Interest Rates With Local-Stochastic Volatility Models

Shiraya, Kenichiro; Takahashi, Akihiko; Yamazaki, Akira
  • 期刊名称Wilmott
  • 作者Shiraya, Kenichiro; Takahashi, Akihiko; Yamazaki, Akira
  • 卷第2012卷
  • 期第61期
  • 印刷ISSN1540-6962
  • 文件大小23839.20KB
  • 发表时间2012-09
  • DOI10.1002/wilm.10148
  • 页码48-63
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