Showing 1 - 5 of 5
In this paper, we develop asymptotic formulas for long-dated Foreign Exchange (FX) and swaptions implied volatilities. We extend the method exposed in Decamps and De Schepper (2009b) to a generic model with time-dependent parameters. Imposing a condition on the skew, we derive averaging formulas...
Persistent link: https://www.econbiz.de/10013116583
Persistent link: https://www.econbiz.de/10001593727
Persistent link: https://www.econbiz.de/10001710394
Persistent link: https://www.econbiz.de/10001820126
Persistent link: https://www.econbiz.de/10001157906