Lognormal forward market model (LFM) volatility function approximation
In-Hwan Chung, Tim Dun, and Erik Schlögl
| Year of publication: |
2010
|
|---|---|
| Authors: | Chung, In-hwan ; Dun, Tim ; Schlögl, Erik |
| Published in: |
Contemporary quantitative finance : essays in honour of Eckhard Platen. - Berlin : Springer, ISBN 978-3-642-03478-7. - 2010, p. 369-405
|
| Subject: | Zinsderivat | Interest rate derivative | Black-Scholes-Modell | Black-Scholes model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Iteratives Verfahren | Approximation method | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008749176