Lognormal Forward Market Model (LFM) Volatility Function Approximation (Q3000891)

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Lognormal Forward Market Model (LFM) Volatility Function Approximation
scientific article

    Statements

    title
    Lognormal Forward Market Model (LFM) Volatility Function Approximation (English)
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    author
    In-Hwan Chung
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    Tim Dun
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    Erik Schlögl
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    publication date
    31 May 2011
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    zbMATH Keywords
    lognormal forward rate
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    volability function
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    simulation
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91G70
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    91G60
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    zbMATH DE Number
    5901449
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    OpenAlex ID
    W166230920
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