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.

Dettagli Bibliografici
Pubblicato in:Journal of Finance V. 62, 1-6 (2007).
Autore principale: Jarrow, Robert
Natura: Articolo
Lingua:English
Soggetti:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.