Libor model with expiry-wise stochastic volatility and displacement
Marcel Ladkau, John Schoenmakers and Jianing Zhang
| Year of publication: |
2013
|
|---|---|
| Authors: | Ladkau, Marcel ; Schoenmakers, John ; Zhang, Jianing |
| Published in: |
International Journal of Portfolio Analysis and Management. - Olney [u.a.] : Inderscience Enterprises Ltd, ISSN 2048-2361, ZDB-ID 2700830-7. - Vol. 1.2013, 3, p. 224-249
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190489