An approximation of caplet implied volatilities in Gaussian models
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Publication:816447
DOI10.1007/S10203-005-0056-7zbMath1127.91373OpenAlexW2090491239MaRDI QIDQ816447
Stefano Herzel, Flavio Angelini
Publication date: 9 March 2006
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-005-0056-7
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Cites Work
- Interest rate option pricing with volatility humps
- An approximation of caplet implied volatilities in Gaussian models
- An analytically tractable interest rate model with humped volatility
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- The Market Model of Interest Rate Dynamics
- An equilibrium characterization of the term structure
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