Pages that link to "Item:Q4449553"
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The following pages link to A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach (Q4449553):
Displaying 13 items.
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
- An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (Q1398974) (← links)
- Pricing of range accrual swap in the quantum finance Libor market model (Q1782677) (← links)
- Arbitrage-free discretization of lognormal forward Libor and swap rate models (Q1979076) (← links)
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (Q3067762) (← links)
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
- Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry (Q4560328) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL (Q4571699) (← links)
- An almost Markovian LIBOR market model calibrated to caps and swaptions (Q5247275) (← links)
- MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (Q5854313) (← links)
