Volatility skews and extensions of the Libor market model (English)
National licence
- New search for: Andersen, Leif
- New search for: Andreasen, Jesper
- New search for: Andersen, Leif
- New search for: Andreasen, Jesper
In:
Applied Mathematical Finance
;
7
, 1
;
1-32
;
2000
- Article (Journal) / Electronic Resource
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Title:Volatility skews and extensions of the Libor market model
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Contributors:Andersen, Leif ( author ) / Andreasen, Jesper ( author )
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Published in:Applied Mathematical Finance ; 7, 1 ; 1-32
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Publisher:
- New search for: Routledge
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Publication date:2000-03-01
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Size:32 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents – Volume 7, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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Volatility skews and extensions of the Libor market modelAndersen, Leif / Andreasen, Jesper et al. | 2000
- 33
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Unstructured meshing for two asset barrier optionsPooley, D. M. / Forsyth, P. A. / Vetzal, K. R. / Simpson, R. B. et al. | 2000
- 61
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Valuation of European options in the market with daily price limitBan, Junhwa / Choi, Hyeong In / Ku, Hyejin et al. | 2000