Abstract
The first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer Fachmedien Wiesbaden
About this chapter
Cite this chapter
Hackl, C. (2014). Applications and Results. In: Calibration and Parameterization Methods for the Libor Market Model. BestMasters. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-04688-0_5
Download citation
DOI: https://doi.org/10.1007/978-3-658-04688-0_5
Published:
Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-04687-3
Online ISBN: 978-3-658-04688-0
eBook Packages: Business and EconomicsEconomics and Finance (R0)