The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Year of publication: |
March 2017
|
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Authors: | Giribone, Pier Giuseppe ; Ligato, Simone ; Mulas, Martina |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 1, p. 1-42
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Subject: | Interest rate cap valuation | interest rate floor valuation | swaption valuation | log-normal pricing model | normal pricing model | log-normal greeks estimation | normal greeks estimation | negative interest rates | hedging problem | Griechenland | Greece | Zins | Interest rate | Zinsstruktur | Yield curve | CAPM | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Zinsderivat | Interest rate derivative | Wirkungsanalyse | Impact assessment | Schätztheorie | Estimation theory | Hedging | Niedrigzinspolitik | Low-interest-rate policy |
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