Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
ROBERT JARROW, HAITAO LI, FENG ZHAOVolume:
62
Year:
2007
Language:
english
Pages:
38
DOI:
10.1111/j.1540-6261.2007.01209.x
File:
PDF, 1.40 MB
english, 2007