An approximation of caplet implied volatilities in Gaussian models (Q816447)
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scientific article; zbMATH DE number 5010110
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation of caplet implied volatilities in Gaussian models |
scientific article; zbMATH DE number 5010110 |
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An approximation of caplet implied volatilities in Gaussian models (English)
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9 March 2006
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forward rate
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standard deviation
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stochastic dynamics
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