Libor model with expiry-wise stochastic volatility and displacement
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 |
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