FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH (Q5487838)
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scientific article; zbMATH DE number 5052917
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| English | FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH |
scientific article; zbMATH DE number 5052917 |
Statements
FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH (English)
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12 September 2006
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swaption pricing
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calibration to swaption matrix
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displaced diffusion
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libor market model
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0.80107581615448
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0.737617552280426
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0.7315327525138855
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0.7313035130500793
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0.7263492345809937
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