A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (Q4449553): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/1350486021000029216 / rank
 
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Latest revision as of 13:48, 6 June 2024

scientific article; zbMATH DE number 2040337
Language Label Description Also known as
English
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
scientific article; zbMATH DE number 2040337

    Statements

    A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (English)
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    11 February 2004
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    LIBOR market model
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    European payer swaptions
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    approximate pricing formula
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    asymptotic expansion
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    variance reduction method
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    option valuation problems
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    Monte Carlo simulation
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    volatility skews
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    log-normal volatility function
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    modified volatility function
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