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.

Opis bibliograficzny
Wydane w:Journal of Finance V. 62, 1-6 (2007).
1. autor: Jarrow, Robert
Format: Artykuł
Język:English
Hasła przedmiotowe:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.