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: 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
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