タイトル(掲載誌)CRR Working Paper, Series B
一般注記type:Technical Report
LIBOR market (LM) model is an interest rate version of the BlackScholesmodel of stock price. Extended LM models including constant elasticityof volatility models and affine volatility models have been proposed to explain theobservation that implied volatilities of forward LIBOR rates depend on caps’ ratesin the LM model. This paper proposes methods of specifying the dimensionalityof Wiener process and the functional form on forward LIBOR rates’ volatilities inthe extended LM models, and presents a test for the extended LM models. Theresult of the test using the Eurodollar future rates traded in the Chicago MercantileExchange rejected all of the extended LM models.
identifier:CRR Working Paper, Series B, No. B-3, pp. 1-18
一次資料へのリンクURLhttps://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9960&item_no=1&attribute_id=19&file_no=1
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)