Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model (Q3067762)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5835756
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model |
scientific article; zbMATH DE number 5835756 |
Statements
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (English)
0 references
13 January 2011
0 references
convexity correction
0 references
SABR model
0 references
stochastic Taylor expansion
0 references
0 references
0.8034350872039795
0 references
0.7790512442588806
0 references
0.7776440978050232
0 references
0.7730194330215454
0 references
0.7655009031295776
0 references
