Analytical pricing of the smile in a forward LIBOR market model

DOI10.1080/713666156zbMATH Open1405.91659OpenAlexW2101542744MaRDI QIDQ4647237

Damiano Brigo, Fabio Mercurio

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713666156

zbMATH Keywords

LIBOR market modelanalytical pricingimplied-volatility curves

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model ⋮ TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

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