Non-Parametric Local Volatility Swaption Formula Revisited

We revisit the problem addressed in Gatarek et al. and derive an algorithm for determining the Chayette local volatility based on the options marked for fixed-tenor rolling maturity swaptions. Apart from the discretization error inherent in calibration-simulation procedures, the formula presented is exact

MoreLess

Year of publication:	2016
Authors:	Lucic, Vladimir
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Black-Scholes-Modell \| Black-Scholes model

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/10012987035