Pricing and hedging volatility smile under multifactor interest rate models
I-Doun Kuo
| Year of publication: |
2011
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|---|---|
| Authors: | Kuo, I.-doun |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 36.2011, 1, p. 83-104
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| Subject: | Jump-diffusion models | HJM models | Volatility smile | Euribor options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Hedging | Stochastischer Prozess | Stochastic process | Zinsderivat | Interest rate derivative | Zins | Interest rate | Optionsgeschäft | Option trading | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009271374