Pricing and hedging volatility smile under multifactor interest rate models
Year of publication: |
2011
|
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Authors: | Kuo, I.-doun |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 36.2011, 1, p. 83-104
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Subject: | Jump-diffusion models | HJM models | Volatility smile | Euribor options | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Hedging | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Zinsderivat | Interest rate derivative | Zins | Interest rate |
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