Robust Libor Modelling and Pricing of Derivative Products
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Publication:4666845
DOI10.1201/9780203499092zbMath1069.91062OpenAlexW1415204698MaRDI QIDQ4666845
Publication date: 6 April 2005
Full work available at URL: https://doi.org/10.1201/9780203499092
stability problemlog-normal approximationBermudan derivative pricingleast squares calibration methods
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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