A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544)
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scientific article; zbMATH DE number 5523021
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| English | A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates |
scientific article; zbMATH DE number 5523021 |
Statements
A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (English)
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4 March 2009
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Fokker-Planck equation
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asymptotic expansion
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LIBOR market model
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interest rate derivatives
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0.8115429878234863
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0.8024559020996094
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0.7853460907936096
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0.7831078767776489
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0.7808943390846252
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