论文标题
二次术语结构模型的显式胶囊暗示波动
Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models
论文作者
论文摘要
在假设短率是由通用二次术语结构模型描述的假设下，我们得出了一个明确的渐近近似值。除了提供渐近精度结果外，我们还执行实验，以评估我们近似的数值准确性。
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model. In addition to providing an asymptotic accuracy result, we perform experiments in order to gauge the numerical accuracy of our approximation.
