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Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
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A swaption volatility model using Markov regime switching
White, Richard; Rebonato, Riccardo - In: The journal of computational finance 12 (2008) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10009534634