Black's model in a negative interest rate environment, with application to OTC derivatives

DOI10.1007/s10287-021-00408-6OpenAlexW3180827358MaRDI QIDQ2127359

Gimmi Dallago, Riccardo Bramante, Silvia Facchinetti

Publication date: 20 April 2022

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00408-6

zbMATH Keywords

normal distributionGreek lettersBlack's modelnegative rates

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• The Pricing of Options and Corporate Liabilities
• LIBOR and swap market models and measures
• On the Heston Model with Stochastic Interest Rates
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

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