Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M euribor futures option prices
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Maße
-
30 cm
- Umfang
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47 S.
- Sprache
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Englisch
- Anmerkungen
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graph. Darst.
- Erschienen in
-
Working paper series / Europäische Zentralbank ; No. 198
- Schlagwort
-
Cap
Zinsswap
Zinsoption
Zinstermingeschäft
Collar
Optionspreistheorie
Volatilität
Theorie
Risikoverhalten
- Ereignis
-
Veröffentlichung
- (wo)
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Frankfurt am Main
- (wer)
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Europ. Central Bank
- (wann)
-
2002
- Urheber
- Inhaltsverzeichnis
- Rechteinformation
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Letzte Aktualisierung
-
11.03.2025, 12:31 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Beteiligte
- Bødskov Andersen, Allan
- Wagener, Tom
- Europ. Central Bank
Entstanden
- 2002
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