An approximation of caplet implied volatilities in Gaussian models

DOI10.1007/S10203-005-0056-7zbMATH Open1127.91373OpenAlexW2090491239MaRDI QIDQ816447FDOQ816447

Authors: Flavio Angelini, Stefano Herzel 

Publication date: 9 March 2006

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-005-0056-7

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zbMATH Keywords

standard deviationstochastic dynamicsforward rate

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing interest-rate-derivative securities
• Arbitrage Theory in Continuous Time
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• The Market Model of Interest Rate Dynamics
• An analytically tractable interest rate model with humped volatility
• Interest rate models -- theory and practice
• Interest rate option pricing with volatility humps
• An approximation of caplet implied volatilities in Gaussian models

Cited In (2)

• A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
• An approximation of caplet implied volatilities in Gaussian models

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