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• W3126028493 abstract "The focus of this paper is on finding a connection between the interest rate and equity asset classes. We propose an equity interest rate hybrid model which preserves market observable smiles: the equity from plain vanilla products via a local volatility framework and the interest rate from caps and swaptions via the Stochastic Volatility Libor Market Model [25]. We define a multi-factor short-rate process implied from the Libor Market Model [21], [7], [24] via an arbitrage-free interpolation [29] and combine it with the local volatility equity model for stochastic interest rates [6]. We show that the interest rate smile has a significant impact on the equity local volatility. The model developed is intuitive and straightforward, enabling consistent pricing of related hybrid products. Moreover, it preserves the non-arbitrage Heath, Jarrow, Morton [19] conditions." @default.
• W3126028493 created "2021-02-01" @default.
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• W3126028493 date "2008-12-01" @default.
• W3126028493 modified "2023-09-26" @default.
• W3126028493 title "Incorporating an Interest Rate Smile in an Equity Local Volatility Model" @default.
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• W3126028493 hasPublicationYear "2008" @default.
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