Implied Volatilities of Caps: a Gaussian approach.
Year of publication: |
2005-05-31
|
---|---|
Authors: | Angelini, Flavio ; Herzel, Stefano |
Institutions: | Dipartimento di Economia, Università degli Studi di Perugia |
Subject: | Implied volatility | forward rates | HJM models | calibration |
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