Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model

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Bibliographische Detailangaben
Veröffentlicht in:Journal of mathematical finance
1. Verfasser: Wamwea, Charity (VerfasserIn)
Weitere Verfasser: Ngare, Philip (VerfasserIn), Bidima, Martin Le Doux Mbele (VerfasserIn), Mwelu, Susan (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2019
Schlagworte:
Multiple Curves > Quanto > Cross Currency > LIBOR Market Model > Model Calibration > Cap or Floor Pricing > Aufsatz in Zeitschrift
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