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.

Bibliografiska uppgifter
I publikationen:Journal of Finance V. 62, 1-6 (2007).
Huvudupphovsman: Jarrow, Robert
Materialtyp: Artikel
Språk:English
Ämnen:
Interest rates.
Volatility.
Capital markets.
Stochastic models.
Stock prices.