مرکز منطقه ای اطلاع رساني علوم و فناوري - Pricing and hedging interest rate options: Evidence from cap

Title of article :

Pricing and hedging interest rate options: Evidence from cap–floor markets

Author/Authors :

Anurag Gupta، نويسنده , , Marti G. Subrahmanyam، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

701

To page :

733

Keywords :

Model performance , Hedging , Term structure of interest rates , Interest rate options , Caps/floors

Journal title :

Journal of Banking and Finance

Serial Year :

2005

Journal title :

Journal of Banking and Finance

Record number :

193708

Link To Document :