Interest rate option pricing with volatility humps
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Publication:375489
DOI10.1023/A:1009690621051zbMath1274.91441MaRDI QIDQ375489
Iyuan Chuang, Peter H. Ritchken
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Related Items (7)
The multifactor nature of the volatility of futures markets ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves ⋮ THE CARMA INTEREST RATE MODEL ⋮ An approximation of caplet implied volatilities in Gaussian models ⋮ A class of jump-diffusion bond pricing models within the HJM framework
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