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.

Sonraí bibleagrafaíochta
Foilsithe in:Journal of Finance V. 62, 1-6 (2007).
Príomhchruthaitheoir: Jarrow, Robert
Formáid: Alt
Teanga:English
Ábhair:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.