Markovian Projection for the Local Stochastic Volatility Libor Market Model

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based on the Log Normal process is introduced. In this approximation, the Markovian Projection is fitted to the CEV model rather than to Displaced Diffusion. The relationship with a Standard Method is also investigated

MoreLess

Year of publication:	2015
Authors:	Tsuchiya, Osamu
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Markov-Kette \| Markov chain \| Zinsderivat \| Interest rate derivative

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013022212