ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP...

International Journal of Theoretical and Applied Finance 2010 / 11 Vol. 13; Iss. 7

ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL

CHEN, BIN, OOSTERLEE, CORNELIS W., VAN WEEREN, SACHA
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Volume:
13
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024910006091
Date:
November, 2010
File:
PDF, 405 KB
english, 2010
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