Cap consists of a portfolio of caplets. In market, a cap is quoted by implied volatilities rather than prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility as a function of strike and maturity.https://ia601409.us.archive.org/4/items/ir-cap-vol-7/IrCapVol-7.pd
An interest rate cap is an OTC derivative where the buyer receives payments at the end of each perio...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
We incorporate risk premiums for stochastic implied volatility in an arbitrage-free model describing...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An interest rate cap is designed to provide insurance against the interest cap on an underlying floa...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
Precious metals are trading commodities. But a precious metal quote is very similar to a Forex quote...
Purpose: To propose a novel approach of extracting option implied volatility surface for assets with...
We claim that previously proposed parametric specifications that linearly approximate the term struc...
An interest rate cap is an OTC derivative where the buyer receives payments at the end of each perio...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
We incorporate risk premiums for stochastic implied volatility in an arbitrage-free model describing...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An interest rate cap is designed to provide insurance against the interest cap on an underlying floa...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
An implied volatility is the volatility implied by the market price of an option based on the Black ...
An implied volatility is the volatility implied by the market price of an option based on the Black-...
A capped swap is an interest rate swap with a cap where the floating rate of the swap is capped at a...
Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet impo...
Precious metals are trading commodities. But a precious metal quote is very similar to a Forex quote...
Purpose: To propose a novel approach of extracting option implied volatility surface for assets with...
We claim that previously proposed parametric specifications that linearly approximate the term struc...
An interest rate cap is an OTC derivative where the buyer receives payments at the end of each perio...
Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics...
We incorporate risk premiums for stochastic implied volatility in an arbitrage-free model describing...
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