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pro vyhledávání: '"Dominique R. A. Bang"'
Autor:
Dominique R. A. Bang, Elias Daboussi
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef713273284b4f3277a21c88ec6e7fd6
https://doi.org/10.2139/ssrn.4134438
https://doi.org/10.2139/ssrn.4134438
Publikováno v:
SSRN Electronic Journal.
With the forthcoming introduction of SOFR benchmark rates in the US, market participants will need to adjust their interest rate option models to accommodate a variety of idiosyncrasies of the SOFR rate. The materiality of these changes for quoted op
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3232c23db17273f7071f160f6b50ecf8
https://doi.org/10.2139/ssrn.3700446
https://doi.org/10.2139/ssrn.3700446
Autor:
Dominique R. A. Bang
Publikováno v:
SSRN Electronic Journal.
We present a novel and flexible technique for the construction of tractable, and fully arbitrage-free, Local-Stochastic Volatility (LSV) term distribution models. The method utilizes Lamperti’s harmonic transform to combine a pure stochastic volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::53afb21436f27c7929c0a8de52ea2255
https://doi.org/10.2139/ssrn.3171877
https://doi.org/10.2139/ssrn.3171877