Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model.
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- Review of Derivatives Research, 2023, v. 26, n. 2/3, p. 171, doi. 10.1007/s11147-023-09196-4
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Works matching IS 13806645 AND DT 2023 AND VI 26 AND IP 2/3
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Implied volatility surfaces: a comprehensive analysis using half a billion option prices.
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- Review of Derivatives Research, 2023, v. 26, n. 2/3, p. 135, doi. 10.1007/s11147-023-09195-5
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- Article