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How to calibrate Gaussian two-factor model using swaption
We propose an efficient approximation of the swaption normal volatility to estimate the mean reversion separately from the other volatility parameters in the Gaussian two-factor model. We compare our two-step approach with a one-step method that calibrates all parameters simultaneously. The comparis...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9949672/ https://www.ncbi.nlm.nih.gov/pubmed/36821632 http://dx.doi.org/10.1371/journal.pone.0280829 |