Effective Markovian projection : application to CMS spread options and mid-curve swaptions
M. Felpel, J. Kienitz and T.A. McWalter
| Year of publication: |
2022
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|---|---|
| Authors: | Felpel, Mike ; Kienitz, Jörg ; McWalter, Thomas A. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 6, p. 1169-1192
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| Subject: | Stochastic volatility | Approximation formula | Effective PDE | Markovian projection | SABR | ZABR | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Projektmanagement | Project management | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2043558 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367891