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About Volatility Cube
The document discusses options on interest rate instruments and models for valuing them. It introduces Black's model for valuing caps, floors, and swaptions using the lognormal assumption that forward rates follow geometric Brownian motion. It then discusses how caps and floors, which are baskets of options on forward rates, can be valued by summing the values of their constituent caplets/floorlets derived from Black's model. The document also introduces the concept of the at-the-money cap where the call and put values are equal. Finally, it discusses moving beyond Black's model to allow for non-lognormal distributions of forward rates.
Detailed Information
| Author: | ['vferret'] |
|---|---|
| Publication Year: | 2011 |
| Pages: | 16 |
| Language: | English |
| Format: | |
| Price: | FREE |
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