The compatibility of one-factor market m
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Yunbi An; Wulin Suo
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Article
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2007
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John Wiley and Sons
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English
β 310 KB
π 1 views
## Abstract This study examines the dynamic hedging performance of the oneβfactor LIBOR and swap market models in both caps and swaptions markets, using a procedure similar to the way that these models are used in practice. The effects of different calibration methods on model performance are inves