Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM-Reference-Cited by-同舟云学术

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Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

Published:2012-06-11 Issue:9 Volume:33 Page:827-867
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Chang Jui-Jane¹,Chen Son-Nan²,Wu Ting-Pin³

Affiliation:

1. Jui-Jane Chang is an assistant professor at the Department of Financial Engineering and Actuarial Mathematics; Soochow University; Taiwan

2. Son-Nan Chen is a professor at the Shanghai Advanced Institute of Finance (SAIF); Shanghai Jiao Tong University; China

3. Ting-Pin Wu is an associate professor at the Department of Finance; National Central University; Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference31 articles.

1. Pricing foreign currency options under stochastic interest rates;Amin;Journal of International Money and Finance,1991

2. A multi-factor cross-currency LIBOR market model;Benner;Journal of Derivatives,2009

3. On the use of numeraires in option pricing;Benninga;Journal of Derivatives,2002

4. The market model of interest rate dynamics;Brace;Mathematical Finance,1997

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Barrier Caps and Floors under the LIBOR Market Model with Double Exponential Jumps;The Journal of Derivatives;2014-05-31

2. B: Financial Instruments and Markets;World Banking Abstracts;2013-11-18

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