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.

Détails bibliographiques
Publié dans:Journal of Finance V. 62, 1-6 (2007).
Auteur principal: Jarrow, Robert
Format: Article
Langue:English
Sujets:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.