Fast swaption pricing under the market model with a square-root volatility process (Q3498563)
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scientific article; zbMATH DE number 5275911
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| English | Fast swaption pricing under the market model with a square-root volatility process |
scientific article; zbMATH DE number 5275911 |
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Fast swaption pricing under the market model with a square-root volatility process (English)
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15 May 2008
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LIBOR model
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stochastic volatility
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square-root process
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swaptions
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fast Fourier transform (FFT)
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0.8316184282302856
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0.8231082558631897
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0.7932521104812622
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0.7901742458343506
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0.7884548902511597
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