Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359)

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Black's model in a negative interest rate environment, with application to OTC derivatives
scientific article

    Statements

    title
    Black's model in a negative interest rate environment, with application to OTC derivatives (English)
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    author
    Riccardo Bramante
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    Gimmi Dallago
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    Silvia Facchinetti
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    publication date
    20 April 2022
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    zbMATH Keywords
    Black's model
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    normal distribution
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    negative rates
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    Greek letters
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    Identifiers

    zbMATH DE Number
    7510423
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    OpenAlex ID
    W3180827358
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