ERRATUM: EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL

DOI10.1142/S0219024918920024zbMATH Open1417.91520OpenAlexW4212970572WikidataQ129100374 ScholiaQ129100374MaRDI QIDQ4555860FDOQ4555860

Authors: Jacques van Appel, Thomas Andrew McWalter 

Publication date: 23 November 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918920024

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (1)

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