Approximate Option Pricing in the Lévy Libor Model (Q4976512)
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scientific article; zbMATH DE number 6754932
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximate Option Pricing in the Lévy Libor Model |
scientific article; zbMATH DE number 6754932 |
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Approximate Option Pricing in the Lévy Libor Model (English)
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31 July 2017
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Libor market model
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caplet
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swaption
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Lévy Libor model
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asymptotic approximation
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