Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359): Difference between revisions
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| Property / DOI: 10.1007/s10287-021-00408-6 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: On the Heston Model with Stochastic Interest Rates / rank | |||
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| Property / cites work: LIBOR and swap market models and measures / rank | |||
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| Property / cites work: A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation / rank | |||
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| Property / cites work: Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model / rank | |||
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| Property / DOI: 10.1007/S10287-021-00408-6 / rank | |||
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Latest revision as of 04:07, 17 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Black's model in a negative interest rate environment, with application to OTC derivatives |
scientific article |
Statements
Black's model in a negative interest rate environment, with application to OTC derivatives (English)
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20 April 2022
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Black's model
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normal distribution
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negative rates
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Greek letters
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