haku: @author Longstaff, F. A. / yhteensä: 9
viite: 3 / 9
| 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