A multicurrency extension of the lognormal interest rate market models

DOI10.1007/s007800100054zbMath1002.91018OpenAlexW3123236830MaRDI QIDQ1849789

Erik Schlögl

Publication date: 1 December 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/3451

zbMATH Keywords

term structure of interest ratecarrency optionlognormal LIBOR modelsno-arbitrage relationship

Mathematics Subject Classification ID

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