Extension of SABR Libor Market Model to handle negative interest rates
Jie Xiong, Geng Deng and Xindong Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Xiong, Jie ; Deng, Geng ; Wang, Xindong |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 4.2020, 1, p. 148-171
|
| Subject: | Libor Market Model (LMM) | SABR | SABR-LMM | Free Boundary SABR | negative rate | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2020007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176741