A nonparametric local volatility model for swaptions smile
Autor: | Juliusz Jabłecki, Dariusz Gątarek |
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Rok vydání: | 2017 |
Předmět: |
050208 finance
Swaption Financial economics Applied Mathematics 05 social sciences Nonparametric statistics Black–Karasinski model SABR volatility model 01 natural sciences Original research Computer Science Applications 010104 statistics & probability Local volatility 0502 economics and business Economics Econometrics Volatility smile 0101 mathematics Finance |
Zdroj: | The Journal of Computational Finance. |
ISSN: | 1460-1559 |
DOI: | 10.21314/jcf.2018.343 |
Databáze: | OpenAIRE |
Externí odkaz: |
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