A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach

Author: Kawai Atsushi  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.10, Iss.1, 2003-01, pp. : 49-74

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract