Pricing and hedging volatility smile under multifactor interest rate models
| Year of publication: |
2011
|
|---|---|
| Authors: | Kuo, I.-Doun |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 36.2011, 1, p. 83-104
|
| Publisher: |
Springer |
| Subject: | Jump-diffusion models | HJM models | Volatility smile | Euribor options |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008925892