A path-independent humped volatility model for option pricing
Massimo Costabile, Ivar Massabó & Emilio Russo
| Year of publication: |
2013
|
|---|---|
| Authors: | Costabile, Massimo ; Massabo, Ivar ; Russo, Emilio |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 3/4, p. 191-210
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| Subject: | interest rate options | humped volatility | HJM models | discrete-time models | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010187670