Consistent calibration of HJM models to cap implied volatilities
Flavio Angelini; Stefano Herzel
| Year of publication: |
2005
|
|---|---|
| Authors: | Angelini, Flavio ; Herzel, Stefano |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 25.2005, 11, p. 1093-1120
|
| Subject: | Derivat | Derivative | Volatilität | Volatility | Modellierung | Scientific modelling |
| Extent: | graph. Darst |
|---|---|
| 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/10003222761