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On pricing and hedging in the swaption market: how many factors, really?
- Source :
- Journal of Derivatives. Fall, 2007, Vol. 15 Issue 1, p9, 25 p.
- Publication Year :
- 2007
-
Abstract
- We examine how the number of factors and their associated volatility structures affect pricing accuracy and hedging performance in the swaption market. In spite of the fact that low dimensional [...]
Details
- Language :
- English
- ISSN :
- 10741240
- Volume :
- 15
- Issue :
- 1
- Database :
- Gale General OneFile
- Journal :
- Journal of Derivatives
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.168748150