Valuing Interest Rates Derivatives

Leonardo Souza and Gustavo Raposo

No 179, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Swaps; caps and floors; barriers; explicit finite differences method (search for similar items in EconPapers)
JEL-codes: C51 C61 G12 (search for similar items in EconPapers)
Date: 2003-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf3:179

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