Arbitrage-free discretization of lognormal forward Libor and swap rate models
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Publication:1979076
DOI10.1007/s007800050002zbMath0947.60050OpenAlexW2093331649MaRDI QIDQ1979076
Xiaoliang Zhao, Paul Glasserman
Publication date: 24 May 2000
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050002
Gaussian processes (60G15) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Diffusion processes (60J60)
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