Estimation of the local volatility of discount bonds using market quotes for coupon-bond options. (Q3656124)
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scientific article; zbMATH DE number 5657304
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| English | Estimation of the local volatility of discount bonds using market quotes for coupon-bond options. |
scientific article; zbMATH DE number 5657304 |
Statements
13 January 2010
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coupon bond options
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Dupire's method
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local volatility
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volatility smile
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volatility skew
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0.7350671887397766
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0.7271955013275146
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0.7256572842597961
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0.7215749025344849
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0.717466413974762
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