Average interest rate caps

DOI10.1023/A:1008752006974zbMath0947.91044OpenAlexW1534618029MaRDI QIDQ1975257

Terry H. F. Cheuk, Ton Vorst

Publication date: 4 June 2000

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008752006974

zbMATH Keywords

derivativesAsian optionsaverage rate optionsinterest rate caps

Mathematics Subject Classification ID

Related Items (1)

Term structure movements implicit in Asian option prices

This page was built for publication: Average interest rate caps