An analytically tractable interest rate model with humped volatility

European Journal of Operational Research

Volumn 120, Issue 1, 2000, Pages 205-214

  Mercurio, F ^a   Moraleda, J M ^b  

^a Intesa Sanpaolo SpA   (Italy)

^b Santander Investment   (Spain)

Author keywords

Analytical formulae; Empirical test; European options; Gaussian errors; Heath; Humped volatilities; Interest rates; Jarrow and Morton's framework; Normal distribution

Indexed keywords

EID: 0346685759     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(98)00382-8     Document Type: Article

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