Approximate option pricing in the Lévy Libor model
Zorana Grbac, David Krief and Peter Tankov
| Year of publication: |
[2016]
|
|---|---|
| Authors: | Grbac, Zorana ; Krief, David ; Tankov, Peter |
| Published in: |
Advanced modelling in mathematical finance : in honour of Ernst Eberlein. - Cham : Springer Verlag, ISBN 978-3-319-45873-1. - 2016, p. 453-476
|
| Subject: | Libor market model | Caplet | Swaption | Lévy Libor model | Asymptotic approximation | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-45875-5_19 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011800391