Black's model in a negative interest rate environment, with application to OTC derivatives

DOI10.1007/S10287-021-00408-6MaRDI QIDQ2127359zbMATH OpenOpenAlexFDO

Authors Riccardo Bramante, Gimmi Dallago, Silvia Facchinetti

Publication date 20 April 2022

Published in Computational Management Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10287-021-00408-6

zbMATH Keywords

normal distributionGreek lettersBlack's modelnegative rates

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
• LIBOR and swap market models and measures
• On the Heston model with stochastic interest rates
• The pricing of options and corporate liabilities

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