An analytically tractable interest rate model with humped volatility (Q1579480)
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scientific article; zbMATH DE number 1506712
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An analytically tractable interest rate model with humped volatility |
scientific article; zbMATH DE number 1506712 |
Statements
An analytically tractable interest rate model with humped volatility (English)
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14 September 2000
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interest rates
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humped volatilities
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normal distribution
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empirical test
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Gaussian errors
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0.8924393653869629
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0.8078919649124146
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0.791120707988739
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0.7895609140396118
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0.7717478275299072
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