PRICING SWAPTIONS UNDER MULTIFACTOR GAUSSIAN HJM MODELS
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Publication:2927950
DOI10.1111/mafi.12019zbMath1314.91217OpenAlexW1918862926MaRDI QIDQ2927950
João Pedro Vidal Nunes, Pedro Miguel Silva Prazeres
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12019
Edgeworth expansionstochastic durationrank-1 approximationconditioning approachEuropean-style swaptionsGaussian HJM multifactor modelshyperplane approximationlognormal approximationlow-variance martingale approximation
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