Explicit SABR Calibration Through Simple Expansions
Year of publication: |
2014
|
---|---|
Authors: | Le Floc'h, Fabien |
Other Persons: | Kennedy, Gary J. (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
Extent: | 1 Online-Ressource (21 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 16, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2467231 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel, (2016)
-
Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya, (2014)
-
Impacts of derivative markets on spot market volatility and their persistence
Fong, Lik, (2015)
- More ...
-
Finite Difference Techniques for Arbitrage Free SABR
Le Floc'h, Fabien, (2015)
-
Swap Futures in HJM One-Factor Model
Kennedy, Gary J., (2010)
-
Average and Compound Futures in HJM One-Factor Model
Kennedy, Gary J., (2010)
- More ...