Interest rate option pricing with volatility humps

DOI10.1023/A:1009690621051zbMath1274.91441MaRDI QIDQ375489

Iyuan Chuang, Peter H. Ritchken

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

interest rate claimsvolatility humps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

The multifactor nature of the volatility of futures markets ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves ⋮ THE CARMA INTEREST RATE MODEL ⋮ An approximation of caplet implied volatilities in Gaussian models ⋮ A class of jump-diffusion bond pricing models within the HJM framework

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