Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
Year of publication: |
2004-08-11
|
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Authors: | Zhao, Feng ; Jarrow, Robert ; Li, Haitao |
Institutions: | Econometric Society |
Subject: | LIBOR market models | volatility smile | interest rate caps |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society North American Winter Meetings 2004 Number 431 |
Classification: | C4 - Econometric and Statistical Methods: Special Topics ; C5 - Econometric Modeling ; G1 - General Financial Markets |
Source: |
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