-
Cap Volatility Surfaces
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- cap floor option, cap implied volatility
- Permanent URL:
- http://dx.doi.org/10.17613/5t19-nn57
- Abstract:
- An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. In cap market, a cap/floor is quoted by implied volatilities but not prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility of a cap as a function of strike and maturity.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
ircapvol-7.pdf