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Search: subject:"volatility approximation"
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International journal of theoretical and applied finance
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Target volatility option pricing in the lognormal fractional SABR model
Alòs, Elisa
;
Chatterjee, Rupak
;
Tudor, Sebastian F.
; …
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
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Efficient long-dated swaption
volatility
approximation
in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
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