Estimation of the local volatility of discount bonds using market quotes for coupon-bond options.

MaRDI QIDQ3656124zbMATH OpenFDO

Authors Hajime Fujiwara, Masaaki Kijima, Katsumasa Nishide

Publication date 13 January 2010

zbMATH Keywords

coupon bond optionsDupire's methodlocal volatilityvolatility skewvolatility smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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