Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model (Q6154215)
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scientific article; zbMATH DE number 7820577
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model |
scientific article; zbMATH DE number 7820577 |
Statements
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model (English)
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19 March 2024
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interest rate derivatives
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swaptions
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options on futures
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option premium
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option excess returns
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discrete-time arbitrage-free Nelson-Siegel model
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