EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN...

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International Journal of Theoretical and Applied Finance 2018 / 04

EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL

VAN APPEL, JACQUES, MCWALTER, THOMAS A.
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Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024918500206
Date:
April, 2018
File:
PDF, 1013 KB
english, 2018
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