Interest rate caps "smile" too! But can the Libor market models capture the smile.

Библиографические подробности
Опубликовано в::	Journal of Finance V. 62, 1-6 (2007).
Главный автор:	Jarrow, Robert
Формат:	Статья
Язык:	English
Предметы:	Interest rates. Volatility. Capital markets. Stochastic models. Stock prices.