Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model
Journal Article
(2010)
Author(s)
Bin Chen (TU Delft - Numerical Analysis)
CW Oosterlee (TU Delft - Numerical Analysis)
S. van Weeren (External organisation)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/doi:10.1142/S0219024910006091
To reference this document use:
https://resolver.tudelft.nl/uuid:4fcdda24-31c8-4210-b9a4-60db0af17e05
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Publication Year
2010
Language
English
Research Group
Numerical Analysis
Issue number
7
Volume number
13
Pages (from-to)
1019-1046
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