The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)635-672
Number of pages37
JournalJournal of Financial and Quantitative Analysis
Volume38
Issue number3
Publication statusPublished - 2003

Cite this

@article{376fa50aea554e16b8e7581252cd83b9,
title = "The performance of multi-factor term structure models for pricing and hedging caps and swaptions",
author = "J.J.A.G. Driessen and P. Klaassen and B. Melenberg",
note = "DP 0093 Pagination: 37",
year = "2003",
language = "English",
volume = "38",
pages = "635--672",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

The performance of multi-factor term structure models for pricing and hedging caps and swaptions. / Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B.

In: Journal of Financial and Quantitative Analysis, Vol. 38, No. 3, 2003, p. 635-672.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - The performance of multi-factor term structure models for pricing and hedging caps and swaptions

AU - Driessen, J.J.A.G.

AU - Klaassen, P.

AU - Melenberg, B.

N1 - DP 0093 Pagination: 37

PY - 2003

Y1 - 2003

M3 - Article

VL - 38

SP - 635

EP - 672

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -