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Description:
by Patrick Hagan and Andrew Lesniewski
We propose and study the SABR/LMM model. This is a term structure model of interest rates with stochastic volatility that is a natural extension of both the LIBOR market model and the SABR model. The key result of the paper is a closed form asymptotic formula for swaption volatility in the SABR/LMM model which allows for rapid and accurate valuation of European swaptions.
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Publisher: Not Specified
Published: Sat, 15-Nov-2008
ICRA: EC - Early Childhood
linked: 820 times
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