Interest rate option pricing with volatility humps

DOI10.1023/A:1009690621051zbMATH Open1274.91441MaRDI QIDQ375489FDOQ375489

Iyuan Chuang, Peter Ritchken

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

interest rate claimsvolatility humps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (8)

• Pricing caps with HJM models: the benefits of humped volatility
• Implied Volatility of interest rate options: an empirical investigation of the market model
• The multifactor nature of the volatility of futures markets
• The Laplace transform of the integrated Volterra Wishart process
• THE CARMA INTEREST RATE MODEL
• On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves
• A class of jump-diffusion bond pricing models within the HJM framework
• An approximation of caplet implied volatilities in Gaussian models

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