A nonparametric local volatility model for swaptions smile
Dariusz Gatarek and Juliusz Jabłecki
| Year of publication: |
April 2018
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|---|---|
| Authors: | Gatarek, Dariusz ; Jabłecki, Juliusz |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 5, p. 35-62
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| Subject: | Cheyette model | local volatility | swaptions | smile | calibration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Modellierung | Scientific modelling | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.343 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860899