Black's model in a negative interest rate environment, with application to OTC derivatives
Riccardo Bramante, Gimmi Dallago, Silvia Facchinetti
| Year of publication: |
2022
|
|---|---|
| Authors: | Bramante, Riccardo ; Dallago, Gimmi ; Facchinetti, Silvia |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 19.2022, 1, p. 25-39
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| Subject: | Black's model | Normal distribution | Negative rates | Greek letters | Schwarze Menschen | Black people | Griechenland | Greece | Derivat | Derivative | OTC-Handel | OTC market | Zins | Interest rate |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-021-00408-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012817291