The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Pier Giuseppe Giribone and Simone Ligato, Martina Mulas
| 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 | Zins | Interest rate | Griechenland | Greece | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | CAPM | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Hedging | Niedrigzinspolitik | Low-interest-rate policy | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500153 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673134