Fast swaption pricing under the market model with a square-root volatility process (Q3498563): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast swaption pricing under the market model with a square-root volatility process |
scientific article |
Statements
Fast swaption pricing under the market model with a square-root volatility process (English)
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15 May 2008
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LIBOR model
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stochastic volatility
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square-root process
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swaptions
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fast Fourier transform (FFT)
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