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Pricing and hedging interest rate options: Evidence from cap–floor markets · Study

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ArticlePricing and hedging interest rate options: Evidence from cap–floor markets

Anurag Gupta2005

Article2005

Pricing and hedging interest rate options: Evidence from cap–floor markets

Anurag Gupta · Marti G. Subrahmanyam

39 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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2007The economic determinants of interest rate option smiles 2016Interest rate model in uncertain environment based on exponential Ornstein–Uhlenbeck equation

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Year2005

Typearticle

Published2005-03-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0378-4266(04)00054-8

openalex_workW4233551934

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