A jump-diffusion Libor model and its robust calibration (Q3005814): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697680903295176 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2155696277 / rank | |||
Normal rank | |||
Revision as of 23:31, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A jump-diffusion Libor model and its robust calibration |
scientific article |
Statements
A jump-diffusion Libor model and its robust calibration (English)
0 references
9 June 2011
0 references
LIBOR market models
0 references
American options
0 references
Monte Carlo methods
0 references
statistical methods
0 references
