Interest rate option pricing and volatility forecasting: an application to Brazil
type: Item
instance of: scholarly article
title: Interest rate option pricing and volatility forecasting: an application to Brazil
zbMATH Open document ID: 1146.91356
author: Marcelo Yoshio Takami
author: Benjamin Miranda Tabak
published in: Chaos, Solitons and Fractals
publication date: 2008-11-06T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5362507
MaRDI profile type: Publication
full work available at URL: j.chaos.2007.01.038
OpenAlex ID: W2024098913
Wikidata QID: Q126264186
cites work: An Intertemporal General Equilibrium Model of Asset Prices
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cites work: Pricing Interest-Rate-Derivative Securities
cites work: Q4905685
cites work: An equilibrium characterization of the term structure
cites work: Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
cites work: A fractional version of the Merton model.
DOI: 10.1016/J.CHAOS.2007.01.038
description: scientific article; zbMATH DE number 5362507