Additional Metadata
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher World Scientific
Journal International Journal of Theoretical and Applied Finance
Citation
Chen, B, Oosterlee, C.W, & van Weeren, S. (2010). Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model. International Journal of Theoretical and Applied Finance, 13(7), 1019–1046.