An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and Swaption prices
By: Ravi Jagannathan, Andrew Kaplin, Steve Guoqiang Sun.
Contributors: Kaplin, Andrew.; Sun, Steve Guoqiang.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8682; Working paper series (National Bureau of Economic Research) -- working paper no. 8682.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 42
Subjects: Swaps (Finance) -- Prices.
Notes: "December 2001."

JEL no. C13, C32, C51, E43, G12.

Includes bibliographical references.

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Electronic version available via the Internet at the NBER World Wide Web site.