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

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Original language	English
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

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",

}

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

SN - 0022-1090

VL - 38

SP - 635

EP - 672

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

IS - 3

ER -