Interest rate caps "smile" too! But can the Libor market models capture the smile.

Interest rate caps "smile" too! But can the Libor market models capture the smile.

Dades bibliogràfiques
Publicat a:Journal of Finance V. 62, 1-6 (2007).
Autor principal: Jarrow, Robert
Format: Article
Idioma:English
Matèries:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.