APPROXIMATIONS OF BOND AND SWAPTION PRICES IN A BLACK–KARASIŃSKI MODEL
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Publication:2806362
DOI10.1142/S0219024916500175zbMath1337.91118arXiv1506.00697OpenAlexW793843256MaRDI QIDQ2806362
Andrzej Daniluk, Rafał Muchorski
Publication date: 17 May 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.00697
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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