Pricing and hedging the smile with SABR : evidence from the interest rate caps market

Tao L. Wu

Year of publication:	2012
Authors:	Wu, Tao L.
Published in:	The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 32.2012, 8, p. 773-791
Subject:	Hedging \| Optionspreistheorie \| Option pricing theory \| Zinsderivat \| Interest rate derivative \| Volatilität \| Volatility \| Schätzung \| Estimation \| Zinsstruktur \| Yield curve \| Zins \| Interest rate

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