Analytical pricing of the smile in a forward LIBOR market model (Q4647237)
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scientific article; zbMATH DE number 7001565
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Analytical pricing of the smile in a forward LIBOR market model |
scientific article; zbMATH DE number 7001565 |
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Analytical pricing of the smile in a forward LIBOR market model (English)
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14 January 2019
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LIBOR market model
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analytical pricing
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implied-volatility curves
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0.8417898416519165
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0.8357610702514648
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0.8248940706253052
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0.812319815158844
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0.8010409474372864
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