An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options (Q3116080)
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scientific article; zbMATH DE number 6008371
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| English | An extreme value approach to estimating interest-rate volatility: pricing implications for interest-rate options |
scientific article; zbMATH DE number 6008371 |
Statements
An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options (English)
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21 February 2012
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extreme value distributions
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interest-rate options
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term structure of interest rates
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0.7595146298408508
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0.7579280734062195
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0.7530840039253235
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0.7479029893875122
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0.7417393326759338
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