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Presentation . 2022
License: CC BY
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Presentation . 2020
License: CC BY
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https://dx.doi.org/10.5281/zen...
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Cap Implied Volatility

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 02 Jul 2020 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.6502573 , 10.5281/zenodo.3928668 , 10.5281/zenodo.3928669

Cap Implied Volatility

Abstract

Cap consists of a portfolio of caplets. In market, a cap is quoted by implied volatilities rather than prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility as a function of strike and maturity.

https://ia601409.us.archive.org/4/items/ir-cap-vol-7/IrCapVol-7.pdf

Keywords

Interest rate cap, interest rate cap, cap implied volatility, volatility model

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
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impulse
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