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.

Bibliografiset tiedot
Julkaisussa:Journal of Finance V. 62, 1-6 (2007).
Päätekijä: Jarrow, Robert
Aineistotyyppi: Artikkeli
Kieli:English
Aiheet:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.