Common forward rate volatility

DOI10.1137/090750676MaRDI QIDQ3563692zbMATH OpenOpenAlexFDO

Authors Victor W. Goodman, Kyounghee Kim

Publication date 1 June 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090750676

zbMATH Keywords

black formulaLIBOR derivativeterm structure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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