A Family of Humped Volatility Structures
1996-11-04
Research Paper
This publication is part of collection
| Related Files |
|---|
View PDF Version
(1996-1692.pdf, 0.5MB) |
Automatically Extracted Terms
- model
- volatility
- interest rates
- interest
- humped
- structure
- function
- price
- option
- process
- spot rate volatility
- humped volatility structures
- moraleda
- term structure
- framework
- maturity
- volatility structure
- sankarasubramanian
- discount
- class
