Original language | English |
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Pages (from-to) | 635-672 |
Number of pages | 37 |
Journal | Journal of Financial and Quantitative Analysis |
Volume | 38 |
Issue number | 3 |
Publication status | Published - 2003 |
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
J.J.A.G. Driessen, P. Klaassen, B. Melenberg
Research output: Contribution to journal › Article › Scientific › peer-review
55
Citations
(Scopus)