Notes and Comments: An approximation of caplet implied volatilities in Gaussian models
No abstract is available for this item.
Volume (Year): 28 (2006)
Issue (Month): 2 (02)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://www.amases.org/
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/10203/PS2|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April.
- Mercurio, F. & Moraleda, J. M., 2000. "An analytically tractable interest rate model with humped volatility," European Journal of Operational Research, Elsevier, vol. 120(1), pages 205-214, January.
- Flavio Angelini & Stefano Herzel, 2005. "Implied Volatilities of Caps: a Gaussian approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 09/2005, Università di Perugia, Dipartimento Economia.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
- Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:28:y:2006:i:2:p:113-127. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.