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The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen,J.J.A.G.
; 
Klaassen,P.
; 
Melenberg,B.
Abstract
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DP 0093 Pagination: 37
Date
2003
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Tilburg University Research Output Collection
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Driessen, J J A G, Klaassen, P & Melenberg, B 2003, 'The performance of multi-factor term structure models for pricing and hedging caps and swaptions', Journal of Financial and Quantitative Analysis, vol. 38, no. 3, pp. 635-672.
URI
https://hdl.handle.net/20.500.14602/40765
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info:eu-repo/semantics/restrictedAccess
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