EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL (Q4571699)
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scientific article; zbMATH DE number 6897610
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL |
scientific article; zbMATH DE number 6897610 |
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EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL (English)
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29 June 2018
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LIBOR model
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swaption
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volatility approximation
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efficient calibration
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