The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Year of publication: |
2003
|
---|---|
Authors: | Jaeckel, Peter ; Rebonato, Riccardo |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 6.2003, 4, p. 41-59
|
Subject: | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
-
Almeida, Thiago Ramos, (2024)
-
Nunes, Jo~ao Pedro Vidal, (1999)
-
Realizations of interest rate models
Nieuwenhuis, J. H., (2001)
- More ...
-
Rebonato, Riccardo, (2011)
-
Jaeckel, Peter, (2000)
-
Monte Carlo methods in finance
Jaeckel, Peter, (2002)
- More ...