Work

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Year: 2009

Type: other

Authors: Riccardo Rebonato, Kenneth N. McKay, Richard White

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W604127582

Cites:

Cited by: 78

Related to: 10