Analytical pricing of the smile in a forward LIBOR market model

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

Cite this

@article{8be5a79ea38540ab8ca1b8377be0c9ae,

title = "Analytical pricing of the smile in a forward LIBOR market model",

author = "Damiano Brigo and F Mercurio",

year = "2003",

month = feb,

language = "English",

volume = "3",

pages = "15--27",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

number = "1",

}