Fast swaption pricing under the market model with a square-root volatility process (Q3498563): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q264413 |
||
| Property / author | |||
| Property / author: Fan Zhang / rank | |||
Revision as of 03:01, 12 February 2024
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)
0 references
15 May 2008
0 references
LIBOR model
0 references
stochastic volatility
0 references
square-root process
0 references
swaptions
0 references
fast Fourier transform (FFT)
0 references
