Multitenor Volatilities

7 Pages Posted: 6 Sep 2013

Date Written: May 11, 2013

Abstract

We propose a possible approach for pricing interest rate options on underlyings that are not directly quoted in the market due to their non standard tenor. To do so we translate the density given by the smile of the quoted underlying appropriately.

Keywords: Tenor, Implied Volatility, Cap, Swaption

JEL Classification: C00

Suggested Citation

Caspers, Peter, Multitenor Volatilities (May 11, 2013). Available at SSRN: https://ssrn.com/abstract=2320756 or http://dx.doi.org/10.2139/ssrn.2320756

Peter Caspers (Contact Author)

Acadia - An LSEG Business ( email )

United States

HOME PAGE: http://acadia.inc

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