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

DOI10.1142/S0219024918920024MaRDI QIDQ4555860zbMATH OpenOpenAlexWikidataFDO

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)

• scientific article; zbMATH DE number 6305527 (Why is no real title available?)

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