The Lévy LIBOR model

Finance and Stochastics

Volumn 9, Issue 3, 2005, Pages 327-348

  Eberlein, Ernst ^a   Özkan, Fehmi ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Caps; Floors; Forward process; Instantaneous forward rates; L vy processes; LIBOR market model

Indexed keywords

EID: 21244496309     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0145-4     Document Type: Article

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