Common Forward Rate Volatility

DOI10.1137/090750676zbMath1230.91180OpenAlexW1992615204MaRDI QIDQ3563692

Victor W. Goodman, Kyounghee Kim

Publication date: 1 June 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090750676

zbMATH Keywords

term structureblack formulaLIBOR derivative

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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