Browsing School of Pure and Applied Sciences by Subject "Derivatives"

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Pricing Interest Rate Caps and Floors under the Pearson-Sun Interest Rate Model

Ghaniyyu, Abubakari Abdul; Ngare, Philip; Mung’atu, Joseph (2018)

Interest rate derivatives are largely used to manage interest rate risk. For this reason, the accuracy of their pricing is very important as mispricing can result in huge financial losses. In this study, the Pearson-Sun model, ...