A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Riccardo Rebonato
| Year of publication: |
September 2015
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|---|---|
| Authors: | Rebonato, Riccardo |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015, 1, p. 1-10
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| Subject: | Libor market model | SABR | no-arbitrage drifts | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Arbitrage | CAPM |
| 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://www.econbiz.de/10011480695