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

J. Driessen, P. Klaassen, B. Melenberg

Research output: Book / Report › Report › Academic

Original language	English
Place of Publication	onbekend
Publisher	Financiering & Bedrijfskunde vd Fin. Sector (FBFS)
Publication status	Published - 2000

Name	Working paper Katholieke Universiteit Brabant
No.	2000-93

Persistent URL (handle)

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title = "The performance of multi-factor term structure models for pricing and hedging caps and swaptions",

author = "J. Driessen and P. Klaassen and B. Melenberg",

year = "2000",

language = "English",

series = "Working paper Katholieke Universiteit Brabant",

publisher = "Financiering & Bedrijfskunde vd Fin. Sector (FBFS)",

number = "2000-93",

}

TY - BOOK

T1 - The performance of multi-factor term structure models for pricing and hedging caps and swaptions

AU - Driessen, J.

AU - Klaassen, P.

AU - Melenberg, B.

PY - 2000

Y1 - 2000

M3 - Report

T3 - Working paper Katholieke Universiteit Brabant

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

PB - Financiering & Bedrijfskunde vd Fin. Sector (FBFS)

CY - onbekend

ER -