Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Year of publication: |
June 2018
|
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Authors: | Van Appel, Jacques ; McWalter, Thomas A. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 4, p. 1-26
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Subject: | LIBOR model | swaption | volatility approximation | efficient calibration | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Swap |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: volume 21, number 7, November 2018, Seite 1-2 |
Other identifiers: | 10.1142/S0219024918500206 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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