SIMULATED SWAPTION DELTA–HEDGING IN THE LOGNORMAL FORWARD LIBOR MODEL (Q3523595): Difference between revisions

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+MaRDI publication profile
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+Normal rank
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
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+Continuous-time term structure models: Forward measure approach
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
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+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
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+Publication:3523595