Pricing CIR yield options by conditional moment matching (Q1627807)
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scientific article; zbMATH DE number 6987732
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing CIR yield options by conditional moment matching |
scientific article; zbMATH DE number 6987732 |
Statements
Pricing CIR yield options by conditional moment matching (English)
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3 December 2018
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CIR model
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Asian options
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Asian caps
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conditional moment matching
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stratified approximation
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