Which process gives rise to the observed dependence of swaption implied volatility on the underlying?

International Journal of Theoretical and Applied Finance

Volumn 6, Issue 4, 2003, Pages 419-442

  Rebonato, Riccardo ^a,b  

^a Quantitative Research Centre   (United Kingdom)

^b UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

CEV; LIBOR market model; Swaption implied volatilities

Indexed keywords

EID: 0142055300     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024903002079     Document Type: Article

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