Explicit caplet implied volatilities for quadratic term-structure models
Matthew Lorig and Natchanon Suaysom
| Year of publication: |
2024
|
|---|---|
| Authors: | Lorig, Matthew ; Suaysom, Natchanon |
| Subject: | caplet | implied volatility | Quadratic term-structure | simple forward rate | Volatilität | Volatility | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478632350041X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014521323