MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (Q5854313)
From MaRDI portal
scientific article; zbMATH DE number 7323549
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS |
scientific article; zbMATH DE number 7323549 |
Statements
MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (English)
0 references
16 March 2021
0 references
displaced lognormal forward-LIBOR model
0 references
moment approximation
0 references
swaption volatility
0 references
0 references
0 references
0 references
