MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (Q5854313)
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scientific article; zbMATH DE number 7323549
Language | Label | Description | Also known as |
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English | MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS |
scientific article; zbMATH DE number 7323549 |
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MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (English)
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16 March 2021
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displaced lognormal forward-LIBOR model
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moment approximation
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swaption volatility
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