A resolution to valuation conflicts of swaptions/caps and OIS/LIBOR

Ren Raw Chen, Pei Lin Hsieh, Jeffrey Huang, Joe Huang

Research output: Contribution to journal › Journal Article › peer-review

2 Scopus citations

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@article{2e09ba199198451fb8f7c1c967548661,

title = "A resolution to valuation conflicts of swaptions/caps and OIS/LIBOR",

author = "Chen, {Ren Raw} and Hsieh, {Pei Lin} and Jeffrey Huang and Joe Huang",

year = "2018",

doi = "10.3905/jfi.2018.28.3.068",

language = "英语",

volume = "28",

pages = "68--87",

journal = "Journal of Fixed Income",

issn = "1059-8596",

publisher = "Portfolio Management Research",

number = "3",

}

TY - JOUR

T1 - A resolution to valuation conflicts of swaptions/caps and OIS/LIBOR

AU - Chen, Ren Raw

AU - Hsieh, Pei Lin

AU - Huang, Jeffrey

AU - Huang, Joe

PY - 2018

Y1 - 2018

UR - http://www.scopus.com/inward/record.url?scp=85060035427&partnerID=8YFLogxK

U2 - 10.3905/jfi.2018.28.3.068

DO - 10.3905/jfi.2018.28.3.068

M3 - 文章

AN - SCOPUS:85060035427

SN - 1059-8596

VL - 28

SP - 68

EP - 87

JO - Journal of Fixed Income

JF - Journal of Fixed Income

IS - 3

ER -