haku: @author Santa-Clara, P. / yhteensä: 6
viite: 5 / 6
Tekijä: | Longstaff, F. A. Santa-Clara, P. Schwartz, E. S. |
Otsikko: | The relative valuation of caps and swaptions: theory and empirical evidence |
Lehti: | Journal of Finance
2001 : DEC, VOL. 56:6, p. 2067-2109 |
Asiasana: | INTEREST RATES VALUATION |
Vapaa asiasana: | CAPS SWAPTIONS |
Kieli: | eng |
Tiivistelmä: | Although, traded as distinct products, caps and swaptions are linked by no-arbitage relations through the correlation structure of interest rates. Using a string market model, the authors solve for the correlation matrix implied by swaptions and examine the relative valuation of caps and swaptions. |
SCIMA