Open AccessA Unified Market Model for Swaptions and Constant Maturity Swaps
Author(s) -
Chyng Wen Tee,
Jeroen Kerkhof
Publication year - 2019
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3441544
Subject(s) - interest rate swap , interest rate derivative , economics , swap (finance) , arbitrage , econometrics , financial economics , monetary economics , interest rate , finance
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