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.

Xehetasun bibliografikoak
Argitaratua izan da:Journal of Finance V. 62, 1-6 (2007).
Egile nagusia: Jarrow, Robert
Formatua: Artikulua
Hizkuntza:English
Gaiak:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.