Pricing caps with HJM models : the benefits of humped volatility
Year of publication: |
2010
|
---|---|
Authors: | Falini, Jury |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 207.2010, 3 (16.12.), p. 1358-1367
|
Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Volatilität | Volatility | Zustandsraummodell | State space model |
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