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Valuation of caps and swaptions under a stochastic string model - MaRDI portal

Valuation of caps and swaptions under a stochastic string model (Q2141896)

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Valuation of caps and swaptions under a stochastic string model
scientific article

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    title
    Valuation of caps and swaptions under a stochastic string model (English)
    0 references
    author
    Yanyan Li
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    published in
    Physica A
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    publication date
    25 May 2022
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    zbMATH DE Number
    7532042
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    zbMATH Keywords
    stochastic string model
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    LIBOR market model
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    black formula
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    cap
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    swaption
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    OpenAlex ID
    W3126078288
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    cites work
    Q4218388
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    Q2756619
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    Q4905685
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    Q3331506
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    Q5639203
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