✦ LIBER ✦

Pricing Asian-Style Interest Rate Swaps

✍ Scribed by Chang, Chuang-Chang; Chung, San-Lin

Book ID: 121016322
Publisher: Institutional Investor
Year: 2002
Tongue: English
Weight: 592 KB
Volume: 9
Category: Article
ISSN: 1074-1240
DOI: 10.3905/jod.2002.319185

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The pricing of interest rate swaps

✍ James E. McNulty 📂 Article 📅 1990 🏛 Springer 🌐 English ⚖ 641 KB

Pricing and risk management of interest

Pricing and risk management of interest rate swaps

✍ Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 339 KB

Effects of interest rate swaps

✍ Steven Balsam; Sungsoo Kim 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 89 KB

Pricing interest rate futures options wi

Pricing interest rate futures options with futures-style margining

✍ Ren-Raw Chen; Louis Scott 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 426 KB

which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e

An empirical examination of the convexit

An empirical examination of the convexity bias in the pricing of interest rate swaps

✍ Anurag Gupta; Marti G. Subrahmanyam 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 439 KB

Pricing variance swaps under a stochasti

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

✍ Shen, Yang; Siu, Tak Kuen 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 294 KB