Open AccessValuation of Quanto Caps and Floors in a Calibrated Multi-Curve Cross-Currency LIBOR Market Model
Author(s) -
Charity Wamwea,
Philip Ngare,
Martin Le Doux Mbele Bidima,
Susan Mwelu
Publication year - 2019
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2019.94036
Subject(s) - libor market model , libor , valuation (finance) , econometrics , currency , economics , monte carlo method , valuation of options , interest rate , interest rate derivative , financial economics , mathematics , finance , monetary economics , statistics