SABR/LIBOR market models: Pricing and calibration for some interest rate derivatives

  1. Ferreiro, A.M.
  2. García-Rodríguez, J.A.
  3. López-Salas, J.G.
  4. Vázquez, C.
Journal:
Applied Mathematics and Computation

ISSN: 0096-3003

Year of publication: 2014

Volume: 242

Pages: 65-89

Type: Article

DOI: 10.1016/J.AMC.2014.05.017 GOOGLE SCHOLAR

Sustainable development goals

Data source: Scopus