Common Forward Rate Volatility (Q3563692)

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Common Forward Rate Volatility
scientific article

    Statements

    title
    Common Forward Rate Volatility (English)
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    author
    Victor W. Goodman
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    Kyounghee Kim
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    publication date
    1 June 2010
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    zbMATH Keywords
    term structure
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    black formula
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    LIBOR derivative
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    Identifiers

    DOI
    10.1137/090750676
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    Mathematics Subject Classification ID
    91G30
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    60H30
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    60J65
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    91G20
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    zbMATH DE Number
    5714647
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