Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
type: Item
instance of: scholarly article
title: Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
DOI: 10.1080/14697688.2024.2364800
author: L. Andersen
author: Dominique Bang
published in: Quantitative Finance
publication date: 2025-01-06T00:00:00Z
Mathematics Subject Classification ID: 91Gxx
zbMATH DE Number: 7962476
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 7962476