Jacobi stochastic volatility factor for the LIBOR market model
Pierre-Edouard Arrouy, Alexandre Boumezoued, Bernard Lapeyre, Sophian Mehalla
| Year of publication: |
2022
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|---|---|
| Authors: | Arrouy, Pierre-Edouard ; Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 4, p. 771-823
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| Subject: | Expansion series | Gram-Charlier expansion | Jacobi dynamics | LIBOR market model | Polynomial processes | Stochastic volatility | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | 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: | 10.1007/s00780-022-00488-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440251