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A note on invariant measures for HJM models

✍ Scribed by Michael Tehranchi


Publisher
Springer-Verlag
Year
2005
Tongue
English
Weight
153 KB
Volume
9
Category
Article
ISSN
0949-2984

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This study evaluates two one-factor, two two-factor, and two three-factor implied volatility functions in the HJM class, with the use of eurodollar futures options across both strike prices and maturities. The primary contributions of this article are (a) to propose and test three implied volatility