WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING? (Q5696860)
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scientific article; zbMATH DE number 2216240
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING? |
scientific article; zbMATH DE number 2216240 |
Statements
WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING? (English)
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19 October 2005
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CEV
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swaption implied volatilities
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LIBOR market model
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