Moment approximations of displaced forward-LIBOR rates with application to swaptions
Jacques Van Appel and Thomas A. McWalter
| Year of publication: |
2020
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|---|---|
| Authors: | Van Appel, Jacques ; McWalter, Thomas A. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 7, p. 1-29
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| Subject: | Displaced lognormal forward-LIBOR model | moment approximation | swaption volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Momentenmethode | Method of moments | Swap | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500466 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012496904