The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Authors
Publication date 2003
Journal Journal of Financial and Quantitative Analysis
Volume | Issue number 38 | 3
Pages (from-to) 635-672
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
Document type Article
Language English
Published at https://doi.org/10.2307/4126735
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