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

Joost Driessen (), P. Klaassen and Bertrand Melenberg ()

No 2000-93, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: term structure of interest rates; option pricing; hedging; derivatives (search for similar items in EconPapers)
Date: 2000
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Journal Article: The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2003)
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