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Analytical valuation of barrier interest rate options under market models
- Source :
- Journal of Derivatives. Fall, 2009, Vol. 17 Issue 1, p21, 17 p.
- Publication Year :
- 2009
-
Abstract
- Barrier caps, floors, and swaptions are priced in a closed form via the time-changed technique under the market models. The parameters of the resulting formulas can be easily extracted from [...]
Details
- Language :
- English
- ISSN :
- 10741240
- Volume :
- 17
- Issue :
- 1
- Database :
- Gale General OneFile
- Journal :
- Journal of Derivatives
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.208110216