An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options (Q3116080)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options |
scientific article |
Statements
An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options (English)
0 references
21 February 2012
0 references
extreme value distributions
0 references
interest-rate options
0 references
term structure of interest rates
0 references