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dc.contributor.authorBoenkost, Wolframen
dc.contributor.authorSchmidt, Wolfgang M.en
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:04:09Z-
dc.date.available2010-09-24T09:04:09Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/40182-
dc.description.abstractWhen pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the problem on a more general scale and apply the result to various examples.en
dc.language.isoengen
dc.publisher|aHfB - Business School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x4en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordinterest rate optionsen
dc.subject.keywordvolatility smileen
dc.subject.keywordconvexity,en
dc.subject.keywordoption replicationen
dc.subject.stwZinsen
dc.subject.stwVolatilitäten
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.titleInterest rate convexity and the volatility smile-
dc.typeWorking Paperen
dc.identifier.ppn829980660en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:4en

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