Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models

arXiv1106.0866MaRDI QIDQ6225827

John G. M. Schoenmakers, David Skovmand, Antonis Papapantoleon

Publication date: 4 June 2011

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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