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- W2042020007 abstract "In this paper we investigate whether a CEV model can account for the observed variation in the at-the-money implied volatility as a function of the level of the at-the-money forward rate. We also determine which exponent β in the CEV process for the swap rate best accounts for the observed behaviour of the implied volatilities." @default.
- W2042020007 created "2016-06-24" @default.
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- W2042020007 date "2003-06-01" @default.
- W2042020007 modified "2023-10-18" @default.
- W2042020007 title "WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?" @default.
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- W2042020007 doi "https://doi.org/10.1142/s0219024903002079" @default.
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