Analytical pricing of the smile in a forward LIBOR market model
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- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- repec:eee:empfin:v:42:y:2017:i:c:p:175-198 is not listed on IDEAS
- Lixin Wu & Fan Zhang, 2008. "Fast swaption pricing under the market model with a square-root volatility process," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 163-180.
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